Multi-level factor analysis of bond risk premia
type: Item
instance of: scholarly article
title: Multi-level factor analysis of bond risk premia
author: Dukpa Kim
author: Yunjung Kim
author: Yuhyeon Bak
publication date: 2023-03-30T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62H25
zbMATH DE Number: 7669575
zbMATH Keywords: common factors
zbMATH Keywords: excess bond returns
zbMATH Keywords: predictive regression
describes a project that uses: ElemStatLearn
MaRDI profile type: Publication
full work available at URL: snde-2015-0080
OpenAlex ID: W2744579861
cites work: Inferential Theory for Factor Models of Large Dimensions
cites work: Determining the Number of Factors in Approximate Factor Models
cites work: Evaluating latent and observed factors in macroeconomics and finance
cites work: Tests of equal forecast accuracy and encompassing for nested models
cites work: Determining the number of global and country-specific factors in the euro area
cites work: Measuring World Business Cycles
cites work: A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
DOI: 10.1515/SNDE-2015-0080
published in: Studies in Nonlinear Dynamics & Econometrics
description: scientific article