A comparative study of principal component analysis on term structure of interest rates

DOI10.14495/jsiaml.2.57zbMath1358.62081OpenAlexW2067857714MaRDI QIDQ2843133

Nien-Lin Liu

Publication date: 9 August 2013

Published in: JSIAM Letters (Search for Journal in Brave)

Full work available at URL: https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jsiaml&kijiCd=2_0_57&screenID=AF06S010&noVol=2&noIssue=0

zbMATH Keywords

principal component analysisterm structure of interest ratesforward rateszero rates

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Non-Markovian processes: hypothesis testing (62M07)

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