Empirical analysis and forecasting of multiple yield curves
Christoph Gerhart, Eva Lütkebohmert
| Year of publication: |
2020
|
|---|---|
| Authors: | Gerhart, Christoph ; Lütkebohmert, Eva |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 95.2020, p. 59-78
|
| Subject: | Multiple term structures | Principal component analysis | Dynamic factor model | Forecasting of yield curves | Solvency II | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting model | Theorie | Theory | Faktorenanalyse | Factor analysis | Schätzung | Estimation | Rendite | Yield | Hauptkomponentenanalyse |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2020.08.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012419243