Search Results - subject:"Common Principal Component Analysis"

Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates

Pérignon, Christophe; Villa, Christophe - Swiss Finance Institute - 2002

This paper proposes a novel methodology, based on the Common Principal Component analysis, allowing one to estimate the …

Persistent link: https://www.econbiz.de/10005771802

Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates

PÉRIGNON, Christophe; VILLA, Christophe - Swiss Finance Institute - 2002

This paper proposes a novel methodology, based on the Common Principal Component analysis, allowing one to estimate the … methodology, based on the Common Principal Component analysis, allowing one to estimate the factors driving the term structure of …. Keywords. Term Structure of Interest Rates; Principal Component Analy- sis; Common Principal Component Analysis 2 Executive …

Persistent link: https://www.econbiz.de/10005248405

The dynamics of implied volatilities: A common principal components approach

Fengler, Matthias R.; Härdle, Wolfgang Karl; Villa, … - 2001

It is common practice to identify the number and sources of shocks that move implied volatilities across space and time by applying Principal Components Analysis (PCA) to pooled covariance matrices of changes in implied volatilities. This approach, however, is likely to result in a loss of...

Persistent link: https://www.econbiz.de/10010310368

The dynamics of implied volatilities: A common principal components approach

Fengler, Matthias R.; Härdle, Wolfgang K.; Villa, … - Sonderforschungsbereich 373, Quantifikation und … - 2001

Persistent link: https://www.econbiz.de/10010983841

Statistical Properties of Forward Libor Rates

Alexander, Carol; Lvov, Dimitri - Henley Business School, University of Reading - 2003

historical forward rates are used to calibrate the lognormal forward rate model - as advocated by Hull and White (1999, 2000), Longstaff, Santa Clara and Schwartz (1999), Rebonato (1999a,b,c), Rebonato and Joshi (2001) and many others - a Libor yield curve needs to be fit to the available data...

Persistent link: https://www.econbiz.de/10005558300

The Dynamics of Implied Volatilities: A Common Principal Components Approach

Fengler, Matthias; Härdle, Wolfgang; Villa, Christophe - In: Review of Derivatives Research 6 (2003) 3, pp. 179-202

It is common practice to identify the number and sources of shocks that move, e.g., ATM implied volatilities by principal components analysis. This approach, however, is likely to result in a loss of information, since the surface structure of implied volatilities is neglected. In this paper we...

Persistent link: https://www.econbiz.de/10005709839