Extracting factors for interest rate scenarios
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DOI: 10.1007/PL00022986
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- repec:hum:wpaper:sfb649dp2007-023 is not listed on IDEAS
- Johan Hagenbjörk & Jörgen Blomvall, 2019. "Simulation and evaluation of the distribution of interest rate risk," Computational Management Science, Springer, vol. 16(1), pages 297-327, February.
- Borak, Szymon & Härdle, Wolfgang Karl & Mammen, Enno & Park, Byeong U., 2007. "Time series modelling with semiparametric factor dynamics," SFB 649 Discussion Papers 2007-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Park, Byeong U. & Mammen, Enno & Härdle, Wolfgang & Borak, Szymon, 2009.
"Time Series Modelling With Semiparametric Factor Dynamics,"
Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 284-298.
- Szymon Borak & Wolfgang Härdle & Enno Mammen & Byeong U. Park, 2007. "Time Series Modelling with Semiparametric Factor Dynamics," SFB 649 Discussion Papers SFB649DP2007-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Borak, Szymon & Härdle, Wolfgang Karl & Mammen, Enno & Park, Byeong U., 2007. "Time series modelling with semiparametric factor dynamics," SFB 649 Discussion Papers 2007-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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Keywords
PACS. 05.45.Tp Time series analysis – 02.50.Ey Stochastic processes;Statistics
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