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Härdle, Wolfgang; Mysickova, Alena - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

, especially on the BS implied volatility. Implied binomialtrees (IBT) models capture the variations of the implied volatility … known as \volatility smile". They provide a discrete approximation to the continuous risk neutral process for the underlying … Barle and Cakici (BC). After the formation of IBT we can estimate the implied local volatility and thestate price density …

Persistent link: https://www.econbiz.de/10005860517

Stable Distributions

Borak, Szymon; Härdle, Wolfgang; Weron, Rafal - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005

Many of the concepts in theoretical and empirical finance developed over thepast decades - including the classical portfolio theory, the Black-Scholes-Mertonoption pricing model and the RiskMetrics variance-covariance approach toValue at Risk (VaR) - rest upon the assumption that asset returns...

Persistent link: https://www.econbiz.de/10005862329

GHICA - Risk Analysis with GH Distributions and Independent Components

Chen, Ying; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

resulting ICs in the generalized hyperbolic (GH) distributional framework. For the volatility estimation of eachIC, the local …

Persistent link: https://www.econbiz.de/10005861240

When did the 2001 recession really start?

Polzehl, Jörg; Spokoiny, Vladimir; Stărică, Cătălin - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

The paper develops a non-parametric, non-stationary framework for business-cycle dating based on an innovative statistical methodology known as Adaptive Weights Smoothing (AWS). The methodology is used both for the study of the individual macroeconomic time series relevant to the dating of the...

Persistent link: https://www.econbiz.de/10005861467

A semiparametric factor model for electricity forwardcurve dynamics

Borak, Szymon; Weron, Rafał - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth,seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a...

Persistent link: https://www.econbiz.de/10005860496

JBendge: An Object-Oriented System for Solving, Estimating and Selecting Nonlinear Dynamic Models

Winschel, Viktor; Krätzig, Markus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The implemented solution methods for finding the unknown policy function are the standard linearization around the deterministic steady state, and a...

Persistent link: https://www.econbiz.de/10005860533

Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality

Winschel, Viktor; Krätzig, Markus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...

Persistent link: https://www.econbiz.de/10005860578

Solving Linear Rational Expectations Models with Lagged Expectations Quickly and Easily

Meyer-Gohde, Alexander - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

A solution method is derived in this paper for solving a system of linear rationalexpectations equation with lagged expectations (e.g., models incorporating sticky information) using the method of undetermined coefficients for the infinite MA representation. The method applies a combination of a...

Persistent link: https://www.econbiz.de/10005860765

Convenience Yields for CO2 Emission Allowance Futures Contracts

Borak, Szymon; Härdle, Wolfgang; Trück, Stefan; … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

convenience yields for CO2 emission allowance futures. We conduct an empirical study on price behavior, volatility term structure … high fraction of the yields can be explained by the price level and volatility of the spot prices. We conclude that the …

Persistent link: https://www.econbiz.de/10005861246

Discounted Optimal Stopping for Maxima of some Jump-Diffusion Processes

Gapeev, Pavel V. - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

We present solutions to some discounted optimal stopping problems for the maximum process in a model driven by a Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the initial problems to integro-differential free-boundary problems...

Persistent link: https://www.econbiz.de/10005861277

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