Dynamic Term Structure Models Using Principal Components Analysis Near the Zero Lower Bound

DOI10.1142/9789811202391_0061zbMath1454.91316OpenAlexW3081400991MaRDI QIDQ5139483

Januj Amar Juneja

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0061

zbMATH Keywords

low interest rate environmentmodel of Joslin, Le and SingletonPCDTSM

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)

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