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Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods

Lillestøl, Jostein - 2000 - Rev.

alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of …

Persistent link: https://www.econbiz.de/10009612011

Semiparametric modelling of the cross-section of expected returns in the German stock market

Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker - 1997

According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...

Persistent link: https://www.econbiz.de/10009661022

Fitting the smile revisited : a least squares kernel estimator for the implied volatility surface

Fengler, Matthias R. (contributor); Wang, Qihua (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919426

Adaptive estimation for a time inhomogeneous stochastic-volatility model

Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000

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 …

Persistent link: https://www.econbiz.de/10009582392