Fengler, Matthias; Härdle, Wolfgang; Villa, Christophe - In: Review of Derivatives Research 6 (2003) 3, pp. 179-202
It is common practice to identify the number and sources of shocks that move, e.g., ATM implied volatilities by principal components analysis. This approach, however, is likely to result in a loss of information, since the surface structure of implied volatilities is neglected. In this paper we...
