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ArticleA noisy principal component analysis for forward rate curves

Márcio Poletti Laurini2015

Article2015

A noisy principal component analysis for forward rate curves

Márcio Poletti Laurini · Alberto Ohashi

27 citations·0/0 files stored·European Journal of Operational Research

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Stochastic processes and financial applications Statistical Methods and Applications Financial Risk and Volatility Modeling

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References

2002Determining the Number of Factors in Approximate Factor Models 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1991Measuring the Information Content of Stock Trades 2003Forecasting the Term Structure of Government Bond Yields 1991Common Factors Affecting Bond Returns 1987The Information in Long-Maturity Forward Rates 1975THE TAX‐ADJUSTED YIELD CURVE

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Year2015

Typearticle

Published2015-04-27

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations27

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.ejor.2015.04.038

openalex_workW2015633027

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