IDEAS home Printed from https://ideas.repec.org/p/zbw/sfb649/sfb649dp2005-012.html
   My bibliography  Save this paper

Common functional implied volatility analysis

Author

Listed:
  • Detlefsen, Kai
  • Härdle, Wolfgang Karl

Abstract

No abstract is available for this item.

Suggested Citation

  • Detlefsen, Kai & Härdle, Wolfgang Karl, 2005. "Common functional implied volatility analysis," SFB 649 Discussion Papers 2005-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2005-012
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/25031/1/496002937.PDF
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Kneip A. & Utikal K. J, 2001. "Inference for Density Families Using Functional Principal Component Analysis," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 519-542, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Borak, Szymon & Fengler, Matthias R. & Härdle, Wolfgang Karl, 2005. "DSFM fitting of implied volatility surfaces," SFB 649 Discussion Papers 2005-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Ci­zek, P. & Tamine, J. & Härdle, W., 2008. "Smoothed L-estimation of regression function," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5154-5162, August.
    3. Bali, Juan Lucas & Boente, Graciela, 2017. "Robust estimators under a functional common principal components model," Computational Statistics & Data Analysis, Elsevier, vol. 113(C), pages 424-440.
    4. repec:hum:wpaper:sfb649dp2005-022 is not listed on IDEAS

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Gustavo Canavire-Bacarreza & Luis C. Carvajal-Osorio, 2020. "Two Stories of Wage Dynamics in Latin America: Different Policies, Different Outcomes," Journal of Labor Research, Springer, vol. 41(1), pages 128-168, June.
    2. repec:hum:wpaper:sfb649dp2005-016 is not listed on IDEAS
    3. repec:hum:wpaper:sfb649dp2017-024 is not listed on IDEAS
    4. Meeks, Roland & Monti, Francesca, 2023. "Heterogeneous beliefs and the Phillips curve," Journal of Monetary Economics, Elsevier, vol. 139(C), pages 41-54.
    5. Mante, Claude & Yao, Anne-Francoise & Degiovanni, Claude, 2007. "Principal component analysis of measures, with special emphasis on grain-size curves," Computational Statistics & Data Analysis, Elsevier, vol. 51(10), pages 4969-4983, June.
    6. Tran, Ngoc M. & Burdejová, Petra & Ospienko, Maria & Härdle, Wolfgang K., 2019. "Principal component analysis in an asymmetric norm," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 1-21.
    7. repec:hum:wpaper:sfb649dp2016-033 is not listed on IDEAS
    8. Delicado, P., 2011. "Dimensionality reduction when data are density functions," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 401-420, January.
    9. Hron, K. & Menafoglio, A. & Templ, M. & Hrůzová, K. & Filzmoser, P., 2016. "Simplicial principal component analysis for density functions in Bayes spaces," Computational Statistics & Data Analysis, Elsevier, vol. 94(C), pages 330-350.
    10. Huang, Lele & Wang, Huiwen & Zheng, Andi, 2014. "The M-estimator for functional linear regression model," Statistics & Probability Letters, Elsevier, vol. 88(C), pages 165-173.
    11. Fang Yao & Yichao Wu & Jialin Zou, 2016. "Probability-enhanced effective dimension reduction for classifying sparse functional data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 25(1), pages 1-22, March.
    12. Pedro Delicado, 2007. "Functional k-sample problem when data are density functions," Computational Statistics, Springer, vol. 22(3), pages 391-410, September.
    13. ARATA Yoshiyuki, 2017. "A Functional Linear Regression Model in the Space of Probability Density Functions," Discussion papers 17015, Research Institute of Economy, Trade and Industry (RIETI).
    14. Christian Bayer & Luis Calderon & Moritz Kuhn, 2025. "Distributional Dynamics," CRC TR 224 Discussion Paper Series crctr224_2025_625, University of Bonn and University of Mannheim, Germany.
    15. Laya Ghodrati & Victor M. Panaretos, 2024. "On distributional autoregression and iterated transportation," Journal of Time Series Analysis, Wiley Blackwell, vol. 45(5), pages 739-770, September.
    16. Benko, Michal & Härdle, Wolfgang Karl & Kneip, Alois, 2006. "Common functional principal components," SFB 649 Discussion Papers 2006-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    17. repec:hum:wpaper:sfb649dp2014-001 is not listed on IDEAS
    18. Jitka Bartošová & Vladislav Bína, 2009. "Modelling of Income Distribution of Czech Households in The Years 1996-2005," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2009(4), pages 3-18.
    19. Kneip, Alois & Sickles, Robin C. & Song, Wonho, 2012. "A New Panel Data Treatment For Heterogeneity In Time Trends," Econometric Theory, Cambridge University Press, vol. 28(3), pages 590-628, June.
    20. Kneip, Alois & Benko, Michal, 2005. "Common functional component modelling," SFB 649 Discussion Papers 2005-016, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    21. Chao Zhang & Piotr Kokoszka & Alexander Petersen, 2022. "Wasserstein autoregressive models for density time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(1), pages 30-52, January.
    22. Kim Huynh & David Jacho-Chávez & Robert Petrunia & Marcel Voia, 2015. "A nonparametric analysis of firm size, leverage and labour productivity distribution dynamics," Empirical Economics, Springer, vol. 48(1), pages 337-360, February.
    23. repec:hum:wpaper:sfb649dp2006-010 is not listed on IDEAS
    24. Ji Yeh Choi & Heungsun Hwang & Michio Yamamoto & Kwanghee Jung & Todd S. Woodward, 2017. "A Unified Approach to Functional Principal Component Analysis and Functional Multiple-Set Canonical Correlation," Psychometrika, Springer;The Psychometric Society, vol. 82(2), pages 427-441, June.
    25. Andrii Babii & Eric Ghysels & Junsu Pan, 2022. "Tensor Principal Component Analysis," Papers 2212.12981, arXiv.org, revised Aug 2023.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:sfb649:sfb649dp2005-012. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/sohubde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.