Common functional component modelling
AbstractFunctional 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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Bibliographic InfoPaper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2005-016.
Length: 9 pages
Date of creation: Mar 2005
Date of revision:
nonparametric risk management; generalized hyperbolic distribution; functional data analysis;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G19 - Financial Economics - - General Financial Markets - - - Other
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-11-12 (All new papers)
- NEP-BEC-2005-11-12 (Business Economics)
- NEP-ECM-2005-11-12 (Econometrics)
- NEP-FIN-2005-11-12 (Finance)
- NEP-RMG-2005-11-12 (Risk Management)
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.:
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Review of Derivatives Research,
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