Inflation expectation is acknowledged to be an important indicator for policy makers and financial investors. To capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage-free model across different countries in a...

This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...

In this paper, we study the statistical properties of the moneyness scaling transformation by Leung and Sircar (2015). This transformation adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the discrepancy between the IV smiles for levered and unlevered ETF...

Publications are a vital element of any scientist's career. It is not only the number of media outlets but aslo the quality of published research that enters decisions on jobs, salary, tenure, etc. Academic ranking scales in economics and other disciplines are, therefore, widely used in...

The S&P500 or DAX30 are important benchmarks for the financial industry. The first mimics the performance of the major US on the NYSE, AMEX and NASDAQ, while the second does the same for the German Prime Share sector. These and other indices describe different compositions of certain segments of...

Mortality is different across countries, states and regions. Several empirical research works however reveal that mortality trends exhibit a common pattern and show similar structures across populations. The key element in analyzing mortality rate is a time-varying indicator curve. Our main...

In this paper, we analyze the nonparametric part of a partially linear model when the covariates in parametric and non-parametric parts are subject to measurement errors. Based on a two-stage semi-parametric estimate, we construct a uniform con dence surface of the multivariate function for...

The CRIX (CRyptocurrency IndeX) has been constructed based on approximately 30 cryptos and captures high coverage of available market capitalisation. The CRIX index family covers a range of cryptos based on di erent liquidity rules and various model selection criteria. Details of ECRIX (Exact...

We present two methods based on functional principal component analysis (FPCA) for the estimation of smooth derivatives of a sample of random functions, which are observed in a more than one-dimensional domain.We apply eigenvalue decomposition to a) the dual covariance matrix of the derivatives,...