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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
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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
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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
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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
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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
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A generalized ARFIMA process with Markov-switching fractional differencing parameter
Tsay, Wen-jen (contributor); Härdle, Wolfgang (contributor) - 2007
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...
Persistent link: https://www.econbiz.de/10003633683
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Time series modelling with semiparametric factor dynamics
Borak, Szymon; Härdle, Wolfgang; Mammen, Enno; Park, … - 2007
the factors and factor loadings are estimated by semiparametric methods. This more flexible modelling approach poses an … other possible applications in finance and economics. -- semiparametric models ; factor models ; implied volatility surface …
Persistent link: https://www.econbiz.de/10003633687
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From animal baits to investors' preference : estimating and demixing of the weight function in semiparametric models for biased samples
Ritov, Ya'acov (contributor); Härdle, Wolfgang (contributor) - 2007
We consider two semiparametric models for the weight function in a bias sample model. The object of our interest …
Persistent link: https://www.econbiz.de/10003633700
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Statistics of risk aversion
Giacomini, Enzo (contributor); Härdle, Wolfgang (contributor) - 2007
Persistent link: https://www.econbiz.de/10003633711
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Long memory persistence in the factor of Implied volatility dynamics
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2007
number of factors. Such dimension reduction is summarized by a Dynamic Semiparametric Factor Model (DSFM) that characterizes …. -- Implied Volatility ; Dynamic Semiparametric Factor Modeling ; Long Memory ; Fractional Integrated Volatility Models …
Persistent link: https://www.econbiz.de/10003633787