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 …

In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility …. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility … related to relatively infrequent changes in regime. U sing the theory of Markov chains we provide sufficient conditions for …

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 …

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

This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No …. -- stochastic volatility model ; adaptive estimation ; local homogeneity … assumption is made about the parametric form of the processes, on the contrary we only suppose that the volatility can be …