Empirical analysis and forecasting of multiple yield curves
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DOI: 10.1016/j.insmatheco.2020.08.004
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Cited by:
- Atkins, Philip J. & Cummins, Mark, 2023. "Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling," European Journal of Operational Research, Elsevier, vol. 304(3), pages 1331-1348.
- Claudio Fontana & Giacomo Lanaro & Agatha Murgoci, 2024. "The geometry of multi-curve interest rate models," Papers 2401.11619, arXiv.org, revised Jun 2024.
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More about this item
Keywords
Multiple term structures; Principal component analysis; Dynamic factor model; Forecasting of yield curves; Solvency II;All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
Statistics
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