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 …

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

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

additive mean and the multiplicative volatility. The technique used is marginally integrated local polynomial estimation. The … dealing with more than one lag. When the mean has an additive structure, however, better estimation methods are available … estimation of the conditional mean, it is equally if not more important to measure the future risk of the series along with the …

to a parametric approach, namely the multivariate GARCH model. -- stochastic volatility model ; adaptive estimation … assets, stock market indices, exchange rates etc. A particular problem in investigating multivariate volatility processes … arises from the high dimensionality implied by a simultaneous analysis of variances and covariances. Parametric volatility …

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 …