The Dynamics of Implied Volatilities: A Common Principal Components Approach

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Dynamics of implied volatility surfaces (2002, methodology): “Fengler et al [ 20 ], use a common principal components approach to perform a joint PCA on implied volatility smiles of different maturity buckets.”
Robustly Hedging Variable Annuities with Guarantees under Jump and Volatility Risks (2007, background): “There has been active research in recent years on the evolution of the market implied volatilities over time based on historic implied volatility data, e.g., Cont and Fonseca (2002), Fengler, Härdle, and Villa (2003), and Zhu and Avellaneda (1997).”
An empirical comparison of continuous-time models of implied volatility indices (2007, background): “(1999), Alexander (2001), Ané and Labidi (2001), Cont and da Fonseca (2002), and Fengler et al. (2003) have studied only the volatility structure of diffusion implied volatility processes, i.”
A survey of functional principal component analysis (2014, background): “( 2011 ) applied the idea of common functional principal components to the study of human movement , Fengler et al .”
A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options (2004, background): “Kamal and Derman (1997), Skiadopoulos et al. (1999), Alexander (2001), Ane´ and Labidi (2001), Fengler et al. (2001), and Cont and da Fonseca (2002) have applied PCA to investigate the dynamics of implied volatilities.”