We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

This book is the third volume of the Handbook of Computational Statisticsand covers the field of Data Visualization. In line with the companion volumes,it contains a collection of chapters by experts in the field to present readerswith an up-to-date and comprehensive overview of the state of the...

This paper analyzes empirical market utility functions and pricing kernelsderived from the DAX and DAX option data for three market regimes. Aconsistent parametric framework of stochastic volatility is used. All empiricalmarket utility functions show a region of risk proclivity that is...

Over recent years, study on risk management has been prompted by the Basel committee for regular banking supervisory. There are however limitations of some widely-used risk management methods that either calculate risk measures under the Gaussian distributional assumption or involve numerical...

In January 2005 the EU-wide CO2 emissions trading system (EU-ETS) has formally entered into operation.Within the new trading system, the right to emit a particular amount of CO2 becomes a tradable commodity - called EU Allowances (EUAs) - and affected companies, traders and investors will face...

In this paper, we present a case study, which describe the development of the Statistic e-learning-course in Arabic language –”Arabic MM*STAT”. The basic frame for this E-book, the system MM*STAT was developed at the School for Business and Economics of Humboldt-Universit¨at zu Berlin....

Econometrics often deals with data under, from the statistical point of view, non-standard conditions such as heteroscedasticity or measurement errors and the estimation methods need thus be either adopted to such conditions or be at least insensitive to them. The methods insensitive to...

Modern computing equipment is present at schools and universities at all levelsof education. 4 In the statistical sciences computers offer great opportunities toenrich the learning process by the means of e.g. animations, software integrationor on-the-fly computations. A personal review of...

Functional principal component analysis (FPCA) based on theKarhunen-Lo`eve decomposition has been successfully applied in manyapplications, mainly for one sample problems. In this paper we consider common functional principal components for two sample problems. Our research is motivated not only...

The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface...