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Yield curve factors, term structure volatility, and bond risk premia

Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008

- nected to variables reflecting macroeconomic activity, inflation, monetary policy and employment growth. It is shown that the …

Persistent link: https://www.econbiz.de/10003770770

FX smile in the Heston model

Janek, Agnieszka; Kluge, Tino; Weron, Rafał; Wystup, Uwe - 2010

The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets. Secondly, there exists a fast and easily implemented semi-analytical...

Persistent link: https://www.econbiz.de/10008663372

Bayesian inference in a stochastic volatility Nelson-Siegel Model

Hautsch, Nikolaus; Yang, Fuyu - 2010

In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the underlying yield factors. We propose a Markov...

Persistent link: https://www.econbiz.de/10003952795

Forecasting the term structure of variance swaps

Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2006

the curves. Moreover, we analyze a semiparametric factor model. Estimating autoregressive models for the factor loadings …. Moreover, the Heston model is better than the flexible semiparametric approach that outperforms the Nelson-Siegel model …. -- Term structure ; Variance swap curve ; Heston model ; Nelson- Siegel curve ; Semiparametric factor model …

Persistent link: https://www.econbiz.de/10003375772

Yield curve modeling and forecasting using semiparametric factor dynamics

Härdle, Wolfgang; Majer, Piotr - 2012

Using a Dynamic Semiparametric Factor Model (DSFM) we investigate the term structure of interest rates. The proposed … technique shows superior short term forecasting. -- yield curve ; term structure of interests rates ; semiparametric model …

Persistent link: https://www.econbiz.de/10009577030

Quantile regression in risk calibration

Chao, Shih-Kang; Härdle, Wolfgang; Wang, Weining - 2012

factor. Tests on the functional form of the two-level quantile regression reject the linearity. A flexible semiparametric … ; Value-at-Risk ; quantile regression ; locally linear quantile regression ; partial linear model ; semiparametric model …

Persistent link: https://www.econbiz.de/10009425497

Confidence sets in nonparametric calibration of exponential Lévy models

Söhl, Jakob - 2012

Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential Lévy models based on prices of European options. This is done by showing joint asymptotic normality for the estimation of the volatility, the drift, the intensity and the Lévy...

Persistent link: https://www.econbiz.de/10009487321

Risk patterns and correlated brain activities : multidimensional statistical analysis of fMRI data with application to risk patterns

Myšičková, Alena; Song, Song; Majer, Piotr; Mohr, Peter - 2011

panel version of the dynamic semiparametric factor model (DSFM) presented in Park et al. (2009) and identify task … subjects' decision behavior. Keywords: risk, risk attitude, fMRI, decision making, medial orbifrontal cortex, semiparametric … representation. We apply a panel version of the dynamic semiparametric factor model (DSFM) presented in Park et al. (2009) and …

Persistent link: https://www.econbiz.de/10009381742

The systemic risk of central SIFIs

Chen, Cathy Yi-Hsuan; Nasekin, Sergey - 2017

Systemic risk quantification in the current literature is concentrated on market-based methods such as CoVaR(Adrian and Brunnermeier (2016)). Although it is easily implemented, the interactions among the variables of interest and their joint distribution are less addressed. To quantify systemic...

Persistent link: https://www.econbiz.de/10011710562

CDO pricing with copulae

Choros, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2009

Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities estimated from market data. The presented method is used...

Persistent link: https://www.econbiz.de/10003814501