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 …

empirical fact that of the statistical properties of most macroeconomic variables, only the volatility of the real and nominal …

find that the volatility depends on either the interest rate level or information shocks but not on both. Finally, we … propose to describe the short term interest rate's dynamics by means of an AR(1) model with stochastic volatility. -- Term … Structure Models ; Stochastic Volatility ; ARCH …