The Hobson and Rogers model for option pricing is considered. This stochastic volatility model preserves the completeness of the market and can potentially reproduce the observed smile and term structure patterns of implied volatility. A calibration procedure based on ad-hoc numerical schemes...

The Vector Autoregressive (VAR) model with zero coefficient restrictions canbe formulated as a Seemingly Unrelated Regression Equation (SURE) model. Boththe response vectors and the coefficient matrix of the regression equationscomprise columns from a Toeplitz matrix. Efficient numerical and...

The journal Computational Statistics and Data Analysis aims to have regular issues on computational econometrics. Of particular interest are papers in important areas of econometric applications where both computational techniques and numerical methods have a major impact. The goal is to provide...