A GENERALIZATION OF PRINCIPAL COMPONENT ANALYSIS FOR NON-OBSERVABLE TERM STRUCTURES IN EMERGING MARKETS

DOI10.1142/S0219024903002262zbMath1079.91025MaRDI QIDQ5696882

Antonio Marcos Duarte, Caio Ibsen Rodrigues de Almeida, Cristiano Fernandes

Publication date: 19 October 2005

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

zbMATH Keywords

orthogonal polynomialsemerging marketsprincipal componentsterm structure dynamics

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (1)

AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING

Cites Work

• On the role of state variables in interest rates models
• A Note on the Nelson-Siegel Family
• A Theory of the Term Structure of Interest Rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure
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