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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

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

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

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

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

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

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

Latent variable analysis and partial correlation graphs for multivariate time series

Fried, Roland; Didelez, Vanessa - 2003

We investigate the possibility of exploiting partial correlation graphs for identifying interpretable latent variables … underlying a multivariate time series. It is shown how the collapsibility and separation properties of partial correlation graphs …

Persistent link: https://www.econbiz.de/10010476999

Spiked eigenvalues of high-dimensional separable sample covariance matrices

Zhang, Bo; Gao, Jiti; Pan, Guangming; Yang, Yanrong - 2019

Persistent link: https://www.econbiz.de/10012606738

Option-implied correlations, factor models, and market risk

Buss, Adrian; Schönleber, Lorenzo; Vilkov, Grigory - 2017

Persistent link: https://www.econbiz.de/10011696363

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