Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates
Year of publication: |
2002-06-01
|
---|---|
Authors: | Perignon, Christophe ; Villa, Christophe |
Publisher: |
International Center for Financial Asset Management and Engineering (FAME) <Genf> |
Subject: | Schätzung | Faktoranalyse | Einflussgröße | Zinsstruktur | Term structure model |
- 1. Introduction
- 2. An intuitive presentation of the common principal component model
- 3. Understanding similarities among subperiod covariance matrices of bond yields
- 4. Empirical Analysis
- Extracting factors from time-varying correlation matrices
- 5. Conclusion
-
Zinsstrukturmodelle : mit 41 Tabellen
Rudolf, Markus, (2000)
-
Movements in the term structure of interest rates
Bliss, Robert R., (1997)
-
Schwaar, Christian, (1999)
- More ...
-
Why common factors in international bond returns are not so common
Perignon, Christophe, (2007)
-
Common Factors in International Bond Returns Revisited : A Common Principal Component Approach
Moraux, Franck, (2013)
-
Yield-factor volatility models
Perignon, Christophe, (2007)
- More ...