Speaker: Anjun Zhou
Title: A Nonparametric Estimation Method and Its Applications.
Affiliation: State Street Global Advisors.
Date: Friday, March 23, 2001.
Place and Time: Dirac Science Library, 4th floor, 4:50 pm.

Abstract. The kernel regression method has recently become popular in financial studies. It is especially useful in the early stage of exploring the relationship among variables. An application is demonstrated to model the volatility of forward rates, whose relationship with the potential factors is unclear. It is shown that the forward rate and forward spread play different roles for the time series with different maturities.