Predicting interest rate distributions using PCA & quantile regression
Rita Pimentel, Morten Risstad, Sjur Westgaard
| Year of publication: |
2022
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|---|---|
| Authors: | Pimentel, Rita ; Risstad, Morten ; Westgaard, Sjur |
| Published in: |
Digital finance : smart data analytics, investment innovation, and financial technology. - [Cham] : Springer Nature Switzerland AG, ISSN 2524-6186, ZDB-ID 2947479-6. - Vol. 4.2022, 4, p. 291-311
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| Subject: | Interest rate distributions | Principal component analysis | Quantile regression | Risk management | Zins | Interest rate | Regressionsanalyse | Regression analysis | Statistische Verteilung | Statistical distribution | Risikomanagement | Theorie | Theory | Hauptkomponentenanalyse | Zinsstruktur | Yield curve |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s42521-022-00057-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013429379