Term structure models during the global financial crisis: a parsimonious text mining approach

DOI10.1007/s10690-018-09267-9zbMath1422.91738OpenAlexW2906766930WikidataQ128636844 ScholiaQ128636844MaRDI QIDQ2326980

Seisho Sato, Akihiko Takahashi, Kiyohiko Giichi Nishimura

Publication date: 11 October 2019

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2018/2018cf1101.pdf

zbMATH Keywords

text miningterm structure modelfactor modelMonte Carlo filtermarket sentimentquadratic Gaussian model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (2)

A robust-filtering method for noisy non-stationary multivariate time series with econometric applications ⋮ Equilibrium multi-agent model with heterogeneous views on fundamental risks

Uses Software

• MeCab

Cites Work

• Unnamed Item
• Separating information maximum likelihood method for high-frequency financial data
• Squared Bessel processes and their applications to the square root interest rate model
• On the effect of Bank of Japan's outright purchase on the JGB yield curve
• A Theory of the Term Structure of Interest Rates
• Economics of Pessimism and Optimism
• Pricing Interest-Rate-Derivative Securities
• A Monte Carlo filtering approach for estimating the term structure of interest rates

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