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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

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

DSFM fitting of implied volatility surfaces

Borak, Szymon (contributor); … - 2005

reveal a degenerated string structure. Dynamic Semiparametric Factor Models (DSFM) are tailored to handle complex …

Persistent link: https://www.econbiz.de/10003049397

A dynamic semiparametric factor model for implied volatility string dynamics

Fengler, Matthias (contributor); … - 2005

. We propose a dynamic semiparametric factor model (DSFM), which approximates the IVS in a finite dimensional function …

Persistent link: https://www.econbiz.de/10003036581

Product policy and the East-West productivity gap

Görzig, Bernd; Gornig, Martin; Voshage, Ramona; … - 2009

After 20 years of transition from an economy integrated in an exchange scheme of planned economies towards an open market economy based on the ideas of competition, we ask whether East German firms succeeded in finding their place in the international division of labour. We concentrate on the...

Persistent link: https://www.econbiz.de/10003905583

Polar sets of anisotropic Gaussian random fields

Söhl, Jakob - 2009

This paper studies polar sets of anisotropic Gaussian random elds, i.e. sets which a Gaussian random eld does not hit almost surely. The main assumptions are that the eigenvalues of the covariance matrix are bounded from below and that the canonical metric associated with the Gaussian random eld...

Persistent link: https://www.econbiz.de/10003905608

Non-gaussian component analysis : new ideas, new proofs, new applications

Panov, Vladimir - 2010

In this article, we present new ideas concerning Non-Gaussian Component Analysis (NGCA). We use the structural assumption that a high-dimensional random vector X can be represented as a sum of two components - a lowdimensional signal S and a noise component N. We show that this assumption...

Persistent link: https://www.econbiz.de/10003973622