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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

Algunas consideraciones sobre la estructura temporal de tasas de interés del gobierno en México

García-Verdú, Santiago - 2011

This paper, first, reviews briefly the literature on the term structure of interest rates, citing some of the most important studies done on the topic for the Mexican case in the last years. In addition, the development of the government debt market is described. Second, evidence against the...

Persistent link: https://www.econbiz.de/10010322548

Funktionale Klassifizierung von Kleinstädten in Deutschland: Ein methodischer Vergleich

Gareis, Philipp; Milbert, Antonia - In: Raumforschung und Raumordnung / Spatial Research and … 78 (2020) 6, pp. 537-557

. Bezugspunkte sind dabei das klassische Verfahren der Hauptkomponentenanalyse sowie als Alternativmethode die geographisch … gewichtete Hauptkomponentenanalyse. Im methodischen Vergleich zeigt sich, dass die Alternative - auch aufgrund des hohen … Literatur vorzufindende Vorgehensweise aus Hauptkomponentenanalyse, Clusteranalyse und Diskriminanzanalyse gut abgrenzbare und …

Persistent link: https://www.econbiz.de/10012485626

Overcoming data limitations in nonparametric benchmarking: applying PCA-DEA to natural gas transmission

Nieswand, Maria; Cullmann, Astrid; Neumann, Anne - 2009

This paper provides an empirical demonstration for a practical approach of efficiency evaluation against the background of limited data availability in some regulated industries. Here, traditional DEA may result in a lack of discriminatory power when high numbers of variables but only limited...

Persistent link: https://www.econbiz.de/10010271155

The application of graphic methods and the DEA in predicting the risk of bankruptcy

Štefko, Róbert; Horváthová, Jarmila; Mokrišová, … - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-19

The paper deals with the issue of analyzing the financial failure of businesses. The aim was to select key performance indicators entering the DEA model. The research was carried out on a sample of 343 Slovak heat management companies. When addressing the research problem, we made use of...

Persistent link: https://www.econbiz.de/10012611777

Innovation efficiency in the Spanish service sectors, and open innovation

Guede-Cid, Rocío; Rodas-Alfaya, Leticia; Leguey … - In: Journal of Open Innovation: Technology, Market, and … 7 (2021) 1, pp. 1-17

This paper analyzes the relationship between efficiency and innovation activity in Spanish industrial and service sectors by introducing a new methodology framework. A new model combining principal component analysis (PCA) and data envelopment analysis (DEA) is applied in order to obtain an...

Persistent link: https://www.econbiz.de/10012620570

Assessing the robustness of composite indicators: The case of the Global Innovation Index

Alqararah, Khatab - In: Journal of Innovation and Entrepreneurship 12 (2023) 1, pp. 1-22

This research paper introduces a methodology to assess the robustness of the Global Innovation Index (GII), by comparing the rankings provided in it with those achieved using alternative data-driven methodologies such as data envelopment analysis (DEA) and principal component analysis (PCA)....

Persistent link: https://www.econbiz.de/10014519614

Integration of the European market for e-finance: evidence from online brokerage

Schüler, Martin - 2002

The internet revolution is said to foster integration of the market for financial services, since consumers are able to shop around at all companies worldwide and firms can easily offer their services on the internet at a minimum of distribution cost. However, the European market for online...

Persistent link: https://www.econbiz.de/10010298097

Contestability, Technology and Banking

Gropp, Reint E.; Corvoisier, Sandrine - 2009

We estimate the effect of internet penetration on retail bank margins in the euro area. Based on an adapted Baumol [1982] type contestability model, we argue that the internet has reduced sunk costs and therefore increased contestability in retail banking. We test this conjecture by estimating...

Persistent link: https://www.econbiz.de/10010298724

Mobile banking and financial inclusion: The regulatory lessons

Klein, Michael; Mayer, Colin - 2011

Mobile banking is growing at a remarkable speed around the world. In the process it is creating considerable uncertainty about the appropriate regulatory response to this newly emerging service. This paper sets out a framework for considering the design of regulation of mobile banking. Since it...

Persistent link: https://www.econbiz.de/10010305890

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