Increasing dispersion in regression analysis means that with positive changes of the explanatory variable the residual variance increases. Motivated by theoretical questions in stability of demand systems we consider the question of increasing dispersion in a nonparameteric way. It amounts to...

Single index models are frequently used in econometrics and biometrics. Logit and probit models are special cases with fixed link functions. In this paper we consider a specification test that detects nonparametric deviations of the link function, e. g., testing against a semiparametric...

In this paper we investigate the gains of using nonparametric estimation methods in a family of models related to Generalised Linear Models. We focus especially on discrete choice models. We give an overview on different nonparametric and semiparametric approaches in this setting. In particular...

By extending the GARCH option pricing model of Duan (1995) to more flexible volatility es- timation it is shown that the prices of out-of-the-money options strongly depend on volatility features such as asymmetry. Results are provided for the properties of the stationary pricing distribution in...

Normal distribution of the residuals is the traditional assumption in the classicalmultivariate time series models. Nevertheless it is not very often consistent with the real data.Copulae allows for an extension of the classical time series models to nonelliptically distributedresiduals. In this...

As a function of strike and time to maturity the implied volatilityestimation is a challenging task in nancial econometrics. DynamicSemiparametric Factor Models (DSFM) are a model class that allowsfor the estimation of the implied volatility surface (IVS) in a dynamiccontext, employing...

Modeling the portfolio credit risk is one of the crucial issues of the last yearsin the financial problems. We propose the valuation model of Collateralized DebtObligations based on a one- and two-parameter copula and default intensities estimatedfrom market data. The presented method is used to...

Supported by several recent investigations the empirical pricing kernel paradox might beconsidered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presentedwhich suggest that this paradox might be caused by regime switching of stock prices in financialmarkets....

In this paper we propose the GHADA risk management model that is based on the generalizedhyperbolic (GH) distribution and on a nonparametric adaptive methodology. Comparedto the normal distribution...

One of the major cost factors in car manufacturing is the painting of bodyand other parts such as wing or bonnet. Surprisingly, the painting may beeven more expensive than the body itself. From this point of view it is clearthat car manufacturers need to observe the painting process carefully to...