A noisy principal component analysis for forward rate curves
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Publication:319733
DOI10.1016/j.ejor.2015.04.038zbMath1346.91244arXiv1408.6279OpenAlexW2015633027MaRDI QIDQ319733
Alberto Ohashi, Márcio Poletti Laurini
Publication date: 6 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1408.6279
Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Related Items (6)
Kriging of financial term-structures ⋮ Simulation and evaluation of the distribution of interest rate risk ⋮ Measurement of interest rates using a convex optimization model ⋮ Electricity forward curves with thin granularity: theory and empirical evidence in the hourly EPEXspot market ⋮ Principal component analysis: a generalized Gini approach ⋮ Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling
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