SFB 303 Discussion Paper No. A-565

Author: Heid, Frank
Title: Estimating the Functional Components of Asset Price Volatilities
Abstract: The volatility of asset prices as a function of past prices is estimated by nonparametric regression. The estimates show that these functions are concave and obtain a minimum at a value close to zero. We use ideas of Principal Component Analysis to evaluate common functional components of different sets of volatility functions.
JEL-Classification-Number: C14, C50, C12, G10
Creation-Date: November 1997
URL: ../1997/a/bonnsfa565.pdf

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