Motivated by a nonparametric GARCH model we consider nonparametric additive regression and autoregression models in the special case that the additive components are linked parametrically. We show that the parameter can be estimated with parametric rate and give the normal limit. Our procedure...

Models are studied where the response Y and covariates X, T are assumed to fulfill E(Y|X; T) = G{XT Ø + » + m1(T1) + … + md(Td)}. Here G is a known (link) function, Ø is an unknown parameter, and m1, …, md are unknown functions. In particular, we consider additive binary response models...

A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure of the...

Single index models are frequently used in econometrics and biometrics. Logit and Probit models are special cases with fixed link functions. In this paper we consider a bootstrap specification test that detects nonparametric deviations of the link function. The bootstrap is used with the aim to...