Mathematical and Statistical Methods for Actuarial Sciences and Finance

Estimating the volatility term structure 131

significantly different in mean and median among our eight models. Nevertheless,
PC4 and PC5 are significantly different between our models.

Acknowledgement.We acknowledge the financial support provided byJunta de Comunidades
de Castilla-La Manchagrant PCI08-0089 andMinisterio de Educaci ́on y Cienciagrant
ECO2008-05551/ECON which is partially supported by FEDER funds.

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