theory but rather base the decision of the lag structure on a robust Lagrange Multiplier test. In contrast to U.S. data we … find that the volatility depends on either the interest rate level or information shocks but not on both. Finally, we … propose to describe the short term interest rate's dynamics by means of an AR(1) model with stochastic volatility. -- Term …

models, such as discrete time series models, time-inhomogeneous diffusion models, stochastic volatility models, jump …

Habitat Theory of Modigliani and Sutch, a model for intertemporal preferences accounting for preferred habitats is proposed … term bonds to shorter instruments as the Preferred Habitat Theory predicts. …

capturing both of the typical characteristics of the short-term interest rate: volatility persistence and the dependence of … volatility on the level of the interest rate. The model also allows for regime switches whose presence has been a third central …

maturities and moneyness dimension is neglected. In this paper we propose to estimate the implied volatility surface at each … point in time nonparametrically and to analyze the implied volatility surface slice by slice with a common principal … study a p variate random vector of k groups, say the "volatility smile" at p different grid points of moneyness for k …

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