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...

Discriminant analysis for two data sets in IRd with probability densities f and g can be based on the estimation of the set G = {x : f(x) Ï g(x)}. We consider applications where it is appropriate to assume that the region G has a smooth boundary. In particular, this assumption makes sense if...

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...

The use of electronic spreadsheets as the primary software tool for teaching management science modeling techniques and quantitative methods in economics and finance undoubtedly played a key role in the increasing impact of quantitative lectures given in graduate programs. Researchers suggest...

Die vorliegende Studie untersucht den Realoptionsansatz als Bewertungsverfahren für unentwickelte Immobilien. Im Gegensatz zu klassischen Bewertungsverfahren berücksichtigt das Realoptionsverfahren explizit die Unsicherheit zukünftiger Mieterträge und die daraus folgenden...