On the factor structure of bond returns
RK Crump, N Gospodinov - Econometrica, 2022 - Wiley Online Library
We demonstrate that characterizing the minimal dimension of the term structure of interest
rates is more challenging than currently appreciated. The highly structured polynomial …
rates is more challenging than currently appreciated. The highly structured polynomial …
[BOOK][B] Interest rate risk modeling: The fixed income valuation course
SK Nawalkha, GM Soto, NA Beliaeva - 2005 - books.google.com
The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income
Valuation and Risk Analysis comprehensively covers the most definitive work on interest …
Valuation and Risk Analysis comprehensively covers the most definitive work on interest …
[HTML][HTML] Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling
PJ Atkins, M Cummins - European Journal of Operational Research, 2023 - Elsevier
We consider the practice-relevant problem of modelling multiple price curves to support
activities such as price curve simulation and risk management. In this multi-curve setting, the …
activities such as price curve simulation and risk management. In this multi-curve setting, the …
Why common factors in international bond returns are not so common
C Pérignon, DR Smith, C Villa - Journal of International Money and …, 2007 - Elsevier
This paper analyzes the common factor structure of US, German, and Japanese Government
bond returns. Unlike previous studies, we formally take into account the presence of country …
bond returns. Unlike previous studies, we formally take into account the presence of country …
Level–slope–curvature–fact or artefact?
R Lord, A Pelsser - Applied Mathematical Finance, 2007 - Taylor & Francis
The first three factors resulting from a principal components analysis of term structure data
are, in the literature, typically interpreted as driving the level, slope and curvature of the term …
are, in the literature, typically interpreted as driving the level, slope and curvature of the term …
A noisy principal component analysis for forward rate curves
MP Laurini, A Ohashi - European Journal of Operational Research, 2015 - Elsevier
Abstract Principal Component Analysis (PCA) is the most common nonparametric method
for estimating the volatility structure of Gaussian interest rate models. One major difficulty in …
for estimating the volatility structure of Gaussian interest rate models. One major difficulty in …
Accurate short-term yield curve forecasting using functional gradient descent
We propose a multivariate nonparametric technique for generating reliable short-term
historical yield curve scenarios and confidence intervals. The approach is based on a …
historical yield curve scenarios and confidence intervals. The approach is based on a …
The stability of factor models of interest rates
The daily term structure of interest rates is filtered to reduce the influence of cross-
correlations and autocorrelations on its factors. A three-factor model is fitted to the filtered …
correlations and autocorrelations on its factors. A three-factor model is fitted to the filtered …
我国国债收益率曲线变动模式及组合投资策略研究
唐革榕, 朱峰 - 金融研究, 2003 - cqvip.com
本文应用主成分分析方法研究国债收益率曲线变动模式的影响因素, 发现水平因素,
倾斜因素和曲率因素可以分别解释收益率曲线变化的41.67%, 32.29% 和16.88 …
倾斜因素和曲率因素可以分别解释收益率曲线变化的41.67%, 32.29% 和16.88 …
[PDF][PDF] The US volatility term structure: A principal component analysis
F Jareño, M Tolentino - African Journal of Business Management, 2012 - academia.edu
This paper analyses the US volatility term structure and identified the common factors. This
research also examines different estimates depending on the selected dataset with a …
research also examines different estimates depending on the selected dataset with a …