This paper employs a semiparametric procedure to estimate the diffusion process of short-term interest rate. This method is compared in its ability to capture the dynamics of short rate volatility to a class of one-factor diffusion models where the conditional variance is serially correlated and...

This paper employs a semiparametric procedure to estimate the diffusion process of short-term interest rates. The Monte Carlo study shows that the semiparametric approach produces more accurate volatility estimates than models that accommodate asymmetry, level effect and serial dependence in the...

This paper employs a semiparametric procedure to estimate the diffusion process of short-term interest rates. The Monte Carlo study shows that the semiparametric approach produces more accurate volatility estimates than models that accommodate asymmetry, level effect and serial dependence in the...

The use of parametric GARCH models to characterize crude oil price volatility is widely observed in the empirical literature. In this paper, we consider an alternative approach involving nonparametric method to model and forecast oil price return volatility. Focusing on two crude oil markets,...

We use economic policy uncertainty (EPU) shocks in combination with the mixed data sampling (MIDAS) approach to investigate long-run stock market variances and correlations, primarily for the US and the UK. The US long-run stock market variance depends significantly on US EPU shocks but not on...