Multi-level factor analysis of bond risk premia

DOI10.1515/SNDE-2015-0080OpenAlexW2744579861MaRDI QIDQ2691724

Yuhyeon Bak, Dukpa Kim, Yunjung Kim

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2015-0080

zbMATH Keywords

predictive regressioncommon factorsexcess bond returns

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Uses Software

• ElemStatLearn

Cites Work

• Evaluating latent and observed factors in macroeconomics and finance
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Measuring World Business Cycles
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Determining the number of global and country-specific factors in the euro area
• Tests of equal forecast accuracy and encompassing for nested models

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