Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because …

The implied volatility of a European option as a function of strike price and time to maturity forms a volatility … semiparametric models approximate the implied volatility surface (IVS) in a finite dimensional function space, allowing for a low … factors with movements in some macroeconomic variables of the Euro-economy. -- Implied volatility surface ; dynamic …

three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility … functions show a region of risk proclivity that is reproduced by adopting the hypothesis of heterogeneous individual investors … ; pricing kernel ; behvioral finance , risl aversion ; risk proclivity ; Heston model …

is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an … problem of online estimation of current values of w = w(T) and a = a(T) from the observations SI , ... ,ST. We propose an … adaptive method of estimation which does not use any information about time homogeneity of the obscured process. We apply this …