With the recent availability of high-frequency Financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of volatility, however, is usually stated for long sample...

Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR)...

We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....

Supported by several recent investigations, the empirical pricing kernel (EPK) puzzle might be considered a stylized fact. Based on an economic model with state dependent preferences for the financial investors, we want to emphasize a microeconomic view that succeeds in explaining the puzzle. We...

We analyze contributions of different markets to price discovery on traded inflation expectations and how it changed during the financial crisis. The quicker information is processed on one market and the less one market is disrupted by the financial crisis the more valuable is its information...

Using monthly data for the period 19532003, we apply a real-time modeling approach to investigate the implications of U.S. political stock market anomalies for forecasting excess stock returns. Our empirical findings show that political variables, selected on the basis of widely used model...

In recent years support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a moving...

In this paper we investigate the volatility structure of the German stock market index DAX and its constituents. Using a recently developed test, we find a volatility break in 1997. Interestingly, not only is the volatility higher after 1997 but the volatility persistence also increased. That...

As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied volatility surface (IVS) in a dynamic context, employing...