A semiparametric factor model for CDO surfaces dynamics

DOI10.1016/J.JMVA.2015.09.002MaRDI QIDQ268745zbMATH OpenOpenAlexFDO

Authors Barbara Choroś-Tomczyk, Ostap Okhrin, Wolfgang K. Härdle

Publication date 15 April 2016

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2015.09.002

zbMATH Keywords

CDOcurve tradedynamic factor modelsemiparametric modelsurfaces dynamics

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Estimation in multivariate analysis (62H12) Factor analysis and principal components; correspondence analysis (62H25) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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Cites work

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• Variance swap dynamics

Cited in

(4)

• Dynamic semi-parametric factor model for functional expectiles
• An introduction to recent advances in high/infinite dimensional statistics
• Dynamic semiparametric factor models in risk neutral density estimation
• Modelling spatio-temporal variability of temperature

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Uses Software

• fda (R)

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