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Functional Principal ComponentsAnalysis,Implementation and Applications
This master thesis discusses selected topics of Functional Data Analysis (FDA). FDA deals with the random variables (and process) with realizations in the (smooth) functional space. The first part of this thesis introduces ...
Implementation of DynamicSemiparametric Factor Model forImplied Volatilities
Dynamic Semiparametric Factor Model (DSFM) is a convenient tool for analysis of implied volatility surfice (IVS). It offers dimension reduction of the IVS and can be therefore applied in hedging, prediction or risk mangement. ...
Logit Models for Bankruptcy DataImplemented in XploRe
Numerous reasearch attempts in predicting business failures and or bankruptcy are well documented in corporate finance. Attempts to develop bankruptcy prediction continues since commercial banks, public accounting firms, ...