We investigate a class of semiparametric ARCH models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We show that the...

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is nonparametric and does not assume a particular functional form for the discount function although we do show how to impose various restrictions...

We investigate a class of semiparametric ARCH(8) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We propose an...

Very often in survival analysis one has to study martingale integrals where the integrand is not predictable and where the counting process theory of martingales is not directly applicable, as for example in nonparametric and semiparametric applications where the integrand is based on a pilot...