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 |
Online-Ausg.:
Reiswich, Dimitri. Potential PCA interpretation problems for volatility smile dynamics. - Frankfurt, M. : Frankfurt School of Finance & Management, 2009. - Online-Ressource (34 S.)
Persistent link: https://www.econbiz.de/10003858887