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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

A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure

Blaskowitz, Oliver J.; Herwartz, Helmut - 2008

The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of...

Persistent link: https://www.econbiz.de/10010271837

Inference on the maximal rank of time-varying covariance matrices using high-frequency data

Reiß, Markus; Winkelmann, Lars - 2021

We study the rank of the instantaneous or spot covariance matrix ΣX(t) of a multidimensional continuous semi-martingale X(t). Given highfrequency observations X(i/n), i = 0,...,n, we test the null hypothesis rank (ΣX(t)) = r for all t against local alternatives where the average (r + 1)st...

Persistent link: https://www.econbiz.de/10012660931

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

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

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

Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions

Ledoit, Olivier; Wolf, Michael - 2013

Covariance matrix estimation and principal component analysis (PCA) are two cornerstones of multivariate analysis. Classic textbook solutions perform poorly when the dimension of the data is of a magnitude similar to the sample size, or even larger. In such settings, there is a common remedy for...

Persistent link: https://www.econbiz.de/10010316930

Yield curve dynamics: Regional common factor model

Šopov, Boril; Seidler, Jakub - 2010

In this paper, we focus on thorough yield curve modelling. We build on extended classical Nelson-Siegel model, which we further develop to accommodate unobserved regional common factors. We centre our discussion on Central European currencies' yield curves: CZK, HUF, PLN and SKK. We propose a...

Persistent link: https://www.econbiz.de/10010322282

Disclosure risk from factor scores

Ronning, Gerd; Bleninger, Philipp - 2011

Remote access as well as remote analysis solve many problems arising from granting researchers access to sensitive data. Both allow to run analyses without actually seeing the data. Therefore none of them demand either substantively altering the data or strictly restricting the access to it....

Persistent link: https://www.econbiz.de/10010286437

The Application of Main Component Analysis Method on Indicators of Romanian National Authority for Consumers Protection Activities

Gabor, Manuela Rozalia; Ştefănescu, Daniela; Conţiu, … - In: Amfiteatru Economic Journal 12 (2010) 28, pp. 314-331

The National Authority for Consumers Protection, Romania (NACP Romania) is the institution which records various trends from one development region to another as well as from one county to another. The indicators of NACP Romania activities are firmly correlated with other important macroeconomic...

Persistent link: https://www.econbiz.de/10011724720