As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because … financial asset volatilities move over time, across assets and over markets, this paper analyses volatility interaction between …

structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence … that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the …Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and …

In this paper, a survey on theoretically expected and empirically proved impacts of exchange rate volatility is given …. With regard to the West German unemployment, the effects of volatility are empirically analysed using three different … volatility measures and four country groups. In autoregressive models, a significant disturbing impact of volatility can be found …

We analyse the decline in output volatility in Germany. A lower level of variance in an autoregressive model of output … error term variance (reduced impulses). In Germany the decline output volatility is due to a decline in the persistence of … sudden break. The evolution of Germany's short-term real interest rate volatility coincides with the change of the …

-Mobil, Royal Dutch Shell, Total-Fina-Elf) using multivariate cointegration techniques and vector error correction models. Weekly …