Search Results - subject:"COMPONENT"

The use of principal component analysis (PCA) in building yield curve scenarios and identifying relative-value trading opportunities on the Romanian government bond market

Oprea, Andreea - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-37

Based on previous research addressing the use of principal component analysis (PCA) in modeling the dynamics of … 25 March 2022, the first principal component explained 80.83% of the yield curve changes, the first two 91.92%, and the …

Persistent link: https://www.econbiz.de/10013273600

Population ageing and future demand for old-age and disability pensions in Germany : a probabilistic approach

Vanella, Patrizio; Gonzalez, Miguel Rodriguez; Wilke, … - In: Comparative population studies : CPoS ; open acess … 47 (2022), pp. 87-118

reforms. Principal component analysis is used to manage the high degree of complexity involved in forecasting trends in old …

Persistent link: https://www.econbiz.de/10013186784

Seasonal adjustment of daily data with CAMPLET

Abeln, Barend; Jacobs, Jan; Mulder, Machiel - 2022

Persistent link: https://www.econbiz.de/10013171405

Robust inference for non-Gaussian SVAR models

Hoesch, Lukas; Lee, Adam; Mesters, Geert - 2022

Persistent link: https://www.econbiz.de/10014226606

Frequency-band estimation of the number of factors detecting the main business cycle shocks

Avarucci, Marco; Cavicchiol, Maddalena; Forni, Mario; … - 2022

Persistent link: https://www.econbiz.de/10013466051

Modeling volatility risk in equity options market : a statistical approach

Dobi, Doris; Avellaneda, Marco - In: Options - 45 years since the publication of the …, (pp. 257-292). 2023

Persistent link: https://www.econbiz.de/10014366655

Robust forecasting with scaled independent component analysis

Shu, Lei; Lu, Feiyang; Chen, Yu - In: Finance research letters 51 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014286507

Testing for regime changes in portfolios with a large number of assets : a robust approach to factor heteroskedasticity

Massacci, Daniele - In: Journal of financial econometrics 21 (2023) 2, pp. 316-367

Persistent link: https://www.econbiz.de/10014314751

Price, sales, and the business cycle : a time series principal component analysis

Borraz, Fernando; Livan, Giacomo; Rodríguez-Martínez, … - 2020

conditions like labor market indicators through a time series principal component analysis. We study the correlation structure of … correlation and significance is achieved between employment variation and the first principal component, mostly in the second week … find a positive and significant relationship between sales and unemployment and perform a time series principal component …

Persistent link: https://www.econbiz.de/10012389529

Price, sales, and the business cycle: a time series principal component analysis

Borraz, Fernando; Livan, Giacomo; Rodríguez-Martínez, … - 2020

Persistent link: https://www.econbiz.de/10012505062