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 … Structure Models ; Stochastic Volatility ; ARCH …

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government … although we do show how to impose various restrictions in the estimation. Our method is based on Kernel smoothing and is … our estimation procedure is iterative, rather like the backfitting method of estimating non-parametric models. We …

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

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

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

- 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering … prices. Having identified subperiods of homogeneous volatility dynamics we concentrate on stylized facts to distinguish these … volatility regimes. The bottom level of estimated volatility turns out be considerably higher during the second part of the …

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