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Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure
A system of U.S. and euro area short- and long-term interest rates is analyzed. According to the expectations hypothesis of the term structure the interest rate spreads should be stationary and according to the uncovered ...
Nonparametric Estimation of an Additive Model with a Link Function
This paper describes an estimator of the additive components of a nonparametric additive model with a known link function. When the additive components are twice continuously differentiable, the estimator is asymptotically ...
Common Factors Governing VDAX Movements and the Maximum Loss
Based on daily VDAX data this paper analyzes the factors governing the movements of implied volatilities of options on the German stock index DAX. Using Principal Components Analysis over the sample period from 1996 to ...