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Potential PCA interpretation problems for volatility smile dynamics
Reiswich, Dimitri; Tompkins, Robert - 2009
Principal Component Analysis (PCA) is a common procedure for the analysis of financial market data, such as implied volatility smiles or interest rate curves. Recently, Pelsser and Lord [11] raised the question whether PCA results may not be 'facts but artefacts'. We extend this line of research...
Persistent link: https://www.econbiz.de/10010301713
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Default probabilities and default correlations
Erlenmaier, Ulrich; Gersbach, Hans - 2001
Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...
Persistent link: https://www.econbiz.de/10010301737
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On testing for diagonality of large dimensional covariance matrices
Kapetanios, George - 2004
Datasets in a variety of disciplines require methods where both the sample size and the dataset dimensionality are allowed to be large. This framework is drastically different from the classical asymptotic framework where the number of observations is allowed to be large but the dimensionality...
Persistent link: https://www.econbiz.de/10010284154
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A new method for determining the number of factors in factor models with large datasets
Kapetanios, George - 2004
The paradigm of a factor model is very appealing and has been used extensively in economic analyses. Underlying the factor model is the idea that a large number of economic variables can be adequately modelled by a small number of indicator variables. Throughout this extensive research activity...
Persistent link: https://www.econbiz.de/10010284164
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Structural constant conditional correlation
Weber, Enzo - 2008
constant conditional correlation (SCCC). In this, common driving forces can be modelled in addition to simultaneous …
Persistent link: https://www.econbiz.de/10010263718
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Structural dynamic conditional correlation
Weber, Enzo - 2008
structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous in uences between several … transmission e ects. In this context, the present paper extends the analysis to structural dynamic conditional correlation (SDCC …
Persistent link: https://www.econbiz.de/10010263754
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Estimating LGD correlation
Witzany, Jiří - 2009
The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The … correlation determines the probability distribution of portfolio level LGD in the context of a copula model which is used to … we apply the maximum likelihood method to estimate the best correlation parameter. The method is applied and analyzed on …
Persistent link: https://www.econbiz.de/10010322333
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The empirical relation between credit quality, recovery and correlation
Rösch, Daniel; Scheule, Harald - 2009
correlation. …
Persistent link: https://www.econbiz.de/10010276410
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Social capital and the labor market
2015
Persistent link: https://www.econbiz.de/10014306504
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Inference for rank-rank regressions
Chetverikov, Denis N.; Wilhelm, Daniel - 2023
Slope coefficients in rank-rank regressions are popular measures of intergenerational mobility, for instance in regressions of a child's income rank on their parent's income rank. In this paper, we first point out that commonly used variance estimators such as the homoskedastic or robust...
Persistent link: https://www.econbiz.de/10014480485