Showing 1 - 2 of 2
The paper applies methods of functional data analysis – functional auto-regression, principal components and canonical correlations – to the study of the dynamics of interest rate curve. In addition, it introduces a novel statistical tool based on the singular value decomposition...
Persistent link: https://www.econbiz.de/10005342237
index options, one needs to incorporate an infinite activity jump component in the underlying asset return process, and also …
Persistent link: https://www.econbiz.de/10005699646