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Common functional component modelling

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Author Info
Michal Benko
Alois Kneip
Abstract

Functional data analysis (FDA) has become a popular technique in applied statistics. In particular, this methodology has received considerable attention in recent studies in empirical finance. In this talk we discuss selected topics of functional principal components analysis that are motivated by financial data.

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Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2005-016.

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Length: 9 pages
Date of creation: Mar 2005
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Handle: RePEc:hum:wpaper:sfb649dp2005-016

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Related research
Keywords: nonparametric risk management; generalized hyperbolic distribution; functional data analysis;

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
G19 - Financial Economics - - General Financial Markets - - - Other

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Szymon Borak & Kai Detlefsen & Wolfgang Härdle, 2005. "FFT Based Option Pricing," SFB 649 Discussion Papers SFB649DP2005-011, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  2. Ralf Brüggemann & Carsten Trenkler, 2005. "Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary, and Poland," SFB 649 Discussion Papers SFB649DP2005-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    Other versions:
  3. Enzo Giacomini & Wolfgang Härdle, 2005. "Value-at-Risk Calculations with Time Varying Copulae," SFB 649 Discussion Papers SFB649DP2005-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  4. Dirk Krueger & Harald Uhlig, 2005. "Competitive Risk Sharing Contracts with One-Sided Commitment," CFS Working Paper Series 2005/07, Center for Financial Studies. [Downloadable!]
    Other versions:
  5. Ingolf Dittmann & Christian Weiner, 2005. "Selecting Comparables for the Valuation of European Firms," SFB 649 Discussion Papers SFB649DP2005-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  6. Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Pavel Cizek & Karel Komorad, 2005. "Implied Trinomial Trees," SFB 649 Discussion Papers SFB649DP2005-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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