The volatility of interest rates is relevant for many financial applications. Under realistic assumptions the term …-float regime. The volatility processes of arbitraryterm differentials under the respective pre-switch arrangements are compared … Zinsstruktur. Diese Arbeit leitet die Zinsdifferentialstruktur in einer Situation her, in der zwei offene Volkswirtschaften in der …

capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in … evidence for time-varying volatility in the yield factors. This is mostly true for the level and slope volatility revealing … also the highest persistence. It turns out that the inclusion of stochastic volatility improves the model's goodness …

volatilityinduced stationarity. Our model employs a leveldependent conditional volatility that maintains stationarity despite the …

-variance analysis of alternative investments has been hampered by the lack of a systematic treatment of volatility in these markets …. This may seem surprising as derivatives on subsets of the traded goods require a precise modelling and estimation of the … underlying volatility. For example, in art markets, auction houses often give price guarantees to the seller that resemble put …

on some high frequency basis has spurred the research in the field of volatility modeling and forecasting into new … directions. First, the realized variance is a much better estimate of the latent volatility than the sum of the weighted daily … squared returns. As such it is better suited for comparing the out-of-sample performances of competing volatility models …