prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …

exchange the paper compares estimation results of parametric and nonparametric autoregressive models with respect to possible …

already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric …

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions …

, and the Deutschmark-US dollar. The estimation results for both models show: (i) that the unrestricted model outperforms …

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on …

is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an … problem of online estimation of current values of w = w(T) and a = a(T) from the observations SI , ... ,ST. We propose an … adaptive method of estimation which does not use any information about time homogeneity of the obscured process. We apply this …