A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this …, neglects the degenerated string structure of the implied volatility data and may result in a severe modelling bias. We propose … value at risk computations and scenario analysis. -- Implied Volatility Surface ; Smile ; Generalized Additive Models …

This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No … assumption is made about the parametric form of the processes, on the contrary we only suppose that the volatility can be … homogeneity, then the estimate of the volatility can be simply obtained by local averaging. We construct a locally adaptive …

volatility of short-term money growth. The present paper investigates the impact of German money growth volatility on income … velocity and money demand in view of Friedman's money growth volatility hypothesis. Granger-causality tests provide some … evidence for a velocity-volatility linkage. However the estimation of volatility-augmented money demand functions reveals that …