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Level-slope-curvature : fact or artefact?
Lord, Roger; Pelsser, Antoon André Jean - 2005
conditions have the nice interpretation of restricting the level, slope and curvature of the correlation surface. It is proven … that the Schoenmakers-Coffey correlation matrix also brings along such factors. Finally, we formulate and corroborate our … conjecture that the order present in correlation matrices causes slope. …
Persistent link: https://www.econbiz.de/10011346478
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A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure
Blaskowitz, Oliver (contributor);  … - 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/10003770821
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Essays on financial markets and the macroeconomy
Mönch, Emanuel - 2006
Persistent link: https://www.econbiz.de/10003412031
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On the use of spectral value decomposition for the construction of composite indices
Farnia, Luca - 2019
High dimensional composite index makes experts' preferences in setting weights a hard task. In the literature, one of the approaches to derive weights from a data set is Principal Component or Factor Analysis that, although conceptually different, they are similar in results when FA is based on...
Persistent link: https://www.econbiz.de/10011999119
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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper
Gribisch, Bastian - 2013
This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...
Persistent link: https://www.econbiz.de/10010341025
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Investigating the drivers of international comovement in real financial asset returns
McKinnon, Kate - 2019
Persistent link: https://www.econbiz.de/10012224630
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Stable implied calibration of a multi-factor LIBOR model via semi-parametric correlation structure
Schoenmakers, John (contributor); Coffey, Brian (contributor) - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001544421
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CDO surfaces dynamics
Choros-Tomczyk, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2013
correlation surfaces using a dynamic semiparametric factor model (DSFM). The DSFM offers a combination of flexible functional data …
Persistent link: https://www.econbiz.de/10009763975
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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu; McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010348322
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Analyzing business and financial cycles using multi-level factor models
Breitung, Jörg; Eickmeier, Sandra - 2014
This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero restrictions on the associated matrix of factor loadings. We suggest a sequential least squares algorithm for minimizing the total sum of squared residuals and a two-step approach based...
Persistent link: https://www.econbiz.de/10010373684