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ALL FOR ONE … ONE FOR ALL? A PRINCIPAL COMPONENT ANALYSIS OF LATIN AMERICAN BRADY BOND DEBT FROM 1994 TO 2000 - MaRDI portal

ALL FOR ONE … ONE FOR ALL? A PRINCIPAL COMPONENT ANALYSIS OF LATIN AMERICAN BRADY BOND DEBT FROM 1994 TO 2000

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Publication:3022034

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DOI10.1142/S0219024902001365zbMath1138.91480MaRDI QIDQ3022034

Kevin Paul Scherer, Marco Avellaneda

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Principal component analysis Brady Bond Debt credit confagion

Mathematics Subject Classification ID

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Related Items (3)

Multi-curve HJM modelling for risk management ⋮ Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis ⋮ Statistical arbitrage in the US equities market

Cites Work

Asymptotic Theory for Principal Component Analysis

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