Similar Search Results

Level-slope-curvature : fact or artefact?

Lord, Roger; Pelsser, Antoon André Jean - 2005

conditions have the nice interpretation of restricting the level, slope and curvature of the correlation surface. It is proven … that the Schoenmakers-Coffey correlation matrix also brings along such factors. Finally, we formulate and corroborate our … conjecture that the order present in correlation matrices causes slope. …

Persistent link: https://www.econbiz.de/10011346478

A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure

Blaskowitz, Oliver (contributor); … - 2008

The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of...

Persistent link: https://www.econbiz.de/10003770821

On the use of spectral value decomposition for the construction of composite indices

Farnia, Luca - 2019

High dimensional composite index makes experts' preferences in setting weights a hard task. In the literature, one of the approaches to derive weights from a data set is Principal Component or Factor Analysis that, although conceptually different, they are similar in results when FA is based on...

Persistent link: https://www.econbiz.de/10011999119

Yield curve in Bosnia and Herzegovina : financial and macroeconomic framework

Baskot, Bojan; Orsag, Silvije; Mikerevic, Dejan - In: UTMS journal of economics / University of Tourism and … 9 (2018) 1, pp. 1-15

Finance and macroeconomics have different perspectives on the yield curve. In the case of Bosnia and Herzegovina, specific context, data issue and financial market that is in its developing phase, do not allow us to have one, unique perspective. The Nelson-Siegel yield curve model could be...

Persistent link: https://www.econbiz.de/10011901661

CDO surfaces dynamics

Choros-Tomczyk, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2013

correlation surfaces using a dynamic semiparametric factor model (DSFM). The DSFM offers a combination of flexible functional data …

Persistent link: https://www.econbiz.de/10009763975

Analyzing business and financial cycles using multi-level factor models

Breitung, Jörg; Eickmeier, Sandra - 2014

This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero restrictions on the associated matrix of factor loadings. We suggest a sequential least squares algorithm for minimizing the total sum of squared residuals and a two-step approach based...

Persistent link: https://www.econbiz.de/10010373684

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - 2014

Persistent link: https://www.econbiz.de/10010348322

Latent variable analysis and partial correlation graphs for multivariate time series

Fried, Roland; Didelez, Vanessa - 2003

We investigate the possibility of exploiting partial correlation graphs for identifying interpretable latent variables … underlying a multivariate time series. It is shown how the collapsibility and separation properties of partial correlation graphs …

Persistent link: https://www.econbiz.de/10010476999

Option-Implied Correlations, Factor Models, and Market Risk

Buss, Adrian - 2017

Implied correlation and variance risk premium stand out in predicting market returns. However, while the predictive … ability of implied correlation lasts for up to a year, the variance risk premium predicts market returns only for one quarter … ahead. Contrary to the accepted view, implied correlation predicts the market return not through a diversification risk …

Persistent link: https://www.econbiz.de/10012964588

Spiked eigenvalues of high-dimensional separable sample covariance matrices

Zhang, Bo; Gao, Jiti; Pan, Guangming; Yang, Yanrong - 2019

Persistent link: https://www.econbiz.de/10012606738

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