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The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface...
We extend fixed-b asymptotic theory to the nonparametric Phillips-Perron (PP) unit root tests. We show that the fixed …
This paper considers a class of parametric models with nonparametric autoregressive errors. A new test is proposed and studied to deal with the parametric specification of the nonparametric autoregressive errors with either stationarity or nonstationarity. Such a test procedure can initially...
We extend fixed-b asymptotic theory to the nonparametric Phillips-Perron (PP) unit root tests. We show that the fixed …