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Common functional component modelling

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  • Michal Benko
  • Alois Kneip
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    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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    File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2005-016.pdf
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    Bibliographic Info

    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
    Date of revision:
    Handle: RePEc:hum:wpaper:sfb649dp2005-016

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

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    References

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    1. repec:wop:humbsf:2001-38 is not listed on IDEAS
    2. Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2005. "Statistical Tools for Finance and Insurance," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0501.
    3. Fengler, Matthias R. & Härdle, Wolfgang & Mammen, Enno, 2003. "Implied volatility string dynamics," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2003,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    4. Dauxois, J. & Pousse, A. & Romain, Y., 1982. "Asymptotic theory for the principal component analysis of a vector random function: Some applications to statistical inference," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 12(1), pages 136-154, March.
    5. Kneip A. & Utikal K. J, 2001. "Inference for Density Families Using Functional Principal Component Analysis," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 96, pages 519-542, June.
    6. Matthias Fengler & Wolfgang Härdle & Christophe Villa, 2003. "The Dynamics of Implied Volatilities: A Common Principal Components Approach," Review of Derivatives Research, Springer, Springer, vol. 6(3), pages 179-202, October.
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    Cited by:
    1. Pavel Cizek & Karel Komorad, 2005. "Implied Trinomial Trees," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2005-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

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