On the Factor Structure of Bond Returns

DOI10.3982/ECTA17943zbMath1492.91394OpenAlexW4206943042MaRDI QIDQ5087294

Richard K. Crump, Nikolay Gospodinov

Publication date: 11 July 2022

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta17943

zbMATH Keywords

term structure of interest rateseigenvectorsprincipal componentslocal correlationfactor spacebond returns

Mathematics Subject Classification ID

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

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