A major application of rescaled adjusted range analysis (RS analysis) is the study of price fluctuations in financial markets. There, the value of the Hurst constant, H, in a time series may be interpreted as an indicator of the irregularity of the price of a commodity, currency or similar...

Modern econometrics requires implementation of highly specialized software. In contrast to mathematical arguments used in implementing new econometric techniques the corresponding software algorithms require specific platforms. The specialization of hardware and software, in fact, seriously...

It is common practice to identify the number and sources of shocks that move implied volatilities across space and time by applying Principal Components Analysis (PCA) to pooled covariance matrices of changes in implied volatilities. This approach, however, is likely to result in a loss of...

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a...

Additive modelling has been widely used in nonparametric regression to circumvent the curse of dimensionality, by reducing the problem of estimating a multivariate regression function to the estimation of its univariate components. Estimation of these univariate functions, however, can suffer...

Statistics is often difficult for students, since it requires coordination of quantitative and graphical insights with mathematical ability. Furthermore, ever-increasing special knowledge of statistics is demanded, since data of increasing complexity and size need to be understood and analyzed....