Principal component analysis of yield curve movements
Author
Abstract
Suggested Citation
DOI: 10.1007/s12197-010-9142-y
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Lekkos, Ilias, 2001. "Factor models and the correlation structure of interest rates: Some evidence for USD, GBP, DEM and JPY," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1427-1445, August.
- Mardi Dungey & Vance L Martin & Adrian R Pagan, 2000. "A multivariate latent factor decomposition of international bond yield spreads," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 697-715.
- Arcady Novosyolov & Daniel Satchkov, 2008. "Global term structure modelling using principal component analysis," Journal of Asset Management, Palgrave Macmillan, vol. 9(1), pages 49-60, May.
- Soto, Gloria M., 2004. "Duration models and IRR management: A question of dimensions?," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1089-1110, May.
- Alois L. J. Geyer & Stefan Pichler, 1999. "A State‐Space Approach To Estimate And Test Multifactor Cox‐Ingersoll‐Ross Models Of The Term Structure," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(1), pages 107-130, March.
- Geyer, Alois L J & Pichler, Stefan, 1999. "A State-Space Approach to Estimate and Test Multifactor Cox-Ingersoll-Ross Models of the Term Structure," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(1), pages 107-130, Spring.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Tadele, Haileslasie & Roberts, Helen & Whiting, Rosalind H., 2018. "Microfinance institutions' website accessibility," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 279-293.
- Blomvall, Jörgen & Hagenbjörk, Johan, 2019. "A generic framework for monetary performance attribution," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 121-133.
- Emma Apps, 2020. "Application of the Absorption Ratio to Illustrate Financial Connectedness and Interlinkages," Working Papers 202022, University of Liverpool, Department of Economics.
- Mansur, Alfan, 2018. "Measuring Systemic Risk on Indonesia’s Banking System," MPRA Paper 93300, University Library of Munich, Germany, revised 12 Apr 2018.
- van Huellen, Sophie, 2020.
"Too much of a good thing? Speculative effects on commodity futures curves,"
Journal of Financial Markets, Elsevier, vol. 47(C).
- Sophie van Huellen, 2018. "Too Much of a Good Thing? Speculative Effects on Commodity Futures Curves," Working Papers 211, Department of Economics, SOAS University of London, UK.
- Wellmann, Dennis & Trück, Stefan, 2018. "Factors of the term structure of sovereign yield spreads," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 56-75.
- Makushkin, Mikhail & Lapshin, Victor, 2023. "Dynamic Nelson–Siegel model for market risk estimation of bonds: Practical implementation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 69, pages 5-27.
- Joel R. Barber, 2021. "Empirical analysis of term structure shifts," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(2), pages 360-371, April.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Jury Falini, 2009. "Pricing caps with HJM models: the benefits of humped volatility," Department of Economics University of Siena 563, Department of Economics, University of Siena.
- Maclachlan, Iain C, 2007. "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper 28416, University Library of Munich, Germany.
- Alejandro Bernales & Diether W. Beuermann & Gonzalo Cortazar, 2014. "Thinly traded securities and risk management," Estudios de Economia, University of Chile, Department of Economics, vol. 41(1 Year 20), pages 5-48, June.
- Gonzalo Cortazar & Eduardo S. Schwartz & Lorenzo F. Naranjo, 2007. "Term-structure estimation in markets with infrequent trading," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(4), pages 353-369.
- Somnath Chatterjee, 2005. "Application Of The Kalman Filter For Estimating Continuous Time Term Structure Models: The Case Of Uk And Germany," Working Papers 2005_2, Business School - Economics, University of Glasgow.
- Yalin Gündüz & Marliese Uhrig-Homburg, 2014.
"Does modeling framework matter? A comparative study of structural and reduced-form models,"
Review of Derivatives Research, Springer, vol. 17(1), pages 39-78, April.
- Gündüz, Yalin & Uhrig-Homburg, Marliese, 2011. "Does modeling framework matter? A comparative study of structural and reduced-form models," Discussion Paper Series 2: Banking and Financial Studies 2011,05, Deutsche Bundesbank.
- Chiarella, Carl & Hung, Hing & T, Thuy-Duong, 2009.
"The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach,"
Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2075-2088, April.
- Carl Chiarella & Hing Hung & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 151, Quantitative Finance Research Centre, University of Technology, Sydney.
- William H. Aeberhard & Eva Cantoni & Chris Field & Hans R. Künsch & Joanna Mills Flemming & Ximing Xu, 2021. "Robust estimation for discrete‐time state space models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(4), pages 1127-1147, December.
- De Rossi, Giuliano, 2004. "Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 277-308, March.
- Rana Chatterjee, 2004. "Application Of The Kalman Filter For Estimating Continuous Time Term Structure Models: Evidence From The Uk And Germany," Computing in Economics and Finance 2004 346, Society for Computational Economics.
- Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, August.
- Galluccio, Stefano & Roncoroni, Andrea, 2006. "A new measure of cross-sectional risk and its empirical implications for portfolio risk management," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2387-2408, August.
- Kris Jacobs & Xiaofei Li, 2008. "Modeling the Dynamics of Credit Spreads with Stochastic Volatility," Management Science, INFORMS, vol. 54(6), pages 1176-1188, June.
- Caggiano, Giovanni & Leonida, Leone, 2007.
"A note on the empirics of the neoclassical growth model,"
Economics Letters, Elsevier, vol. 94(2), pages 170-176, February.
- Giovanni Caggiano & Leone Leonida, "undated". "A note on the empirics of the neoclassical growth model," Working Papers 2006_2, Business School - Economics, University of Glasgow.
- Zhiping Huang & Michael Sherris & Andrés M. Villegas & Jonathan Ziveyi, 2022. "Modelling USA Age-Cohort Mortality: A Comparison of Multi-Factor Affine Mortality Models," Risks, MDPI, vol. 10(9), pages 1-28, September.
- Esben Hoeg & Per Frederiksen, 2006. "The Fractional OU Process: Term Structure Theory and Application," Computing in Economics and Finance 2006 194, Society for Computational Economics.
- Zehra Eksi & Damir Filipovi'c, 2020. "Affine Pricing and Hedging of Collateralized Debt Obligations," Papers 2011.10101, arXiv.org.
- Ramaprasad Bhar & Nedim Handzic, 2011. "A Multifactor Model of Credit Spreads," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 105-127, March.
- Alan Genaro & Adilson Simonis, 2015. "Estimating doubly stochastic Poisson process with affine intensities by Kalman filter," Statistical Papers, Springer, vol. 56(3), pages 723-748, August.
More about this item
Keywords
Yield Curve; Term Structure; Interest Rates; Principal Component Analysis; G12;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:jecfin:v:36:y:2012:i:3:p:750-765. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.