Potential PCA interpretation problems for volatility smile dynamics
Dimitri Reiswich; Robert Tompkins
| Year of publication: |
2009
|
|---|---|
| Authors: | Reiswich, Dimitri ; Tompkins, Robert G. |
| Publisher: |
Frankfurt, M. : Frankfurt School of Finance & Management |
| Subject: | Finanzmarkt | Financial market | Zeitreihenanalyse | Time series analysis | Hauptkomponentenanalyse | Principal component analysis | Varianzanalyse | Analysis of variance | Korrelation | Correlation | Devisenoption | Currency option | Wechselkurs | Exchange rate | Volatilität | Volatility | Theorie | Theory |
| Extent: | 34 S. graph. Darst 30 cm |
|---|---|
| Series: | Working paper series / Centre for Practical Quantitative Finance. - Frankfurt, M. : Frankfurt School of Finance & Management, ZDB-ID 2373355-X. - Vol. No. 19 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | PCA = Principal Component Analysis |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003858887