Abstract Equity basket correlation can be estimated both using the physical measure from stock prices, and also using the risk neutral measure from option prices. The difference between the two estimates motivates a so-called “dispersion strategy”. We study the performance of this strategy...

Abstract Many statistical estimation techniques for high-dimensional or functional data are based on a preliminary dimension reduction step, which consists in projecting the sample X 1 ,..., X n onto the first D eigenvectors of the Principal Component Analysis (PCA) associated with the empirical...

This paper compares the goods and characteristics models of the consumer within a non-parametric revealed preference framework. Of primary interest is to make a comparison on the basis of predictive success that takes into account dimension reduction. This allows us to nonparametrically identify...