Dynamic term structure models using principal components analysis near the zero lower bound

DOI10.1142/9789811202391_0061MaRDI QIDQ5139483zbMATH OpenOpenAlexFDO

Authors Januj Amar Juneja

Publication date 9 December 2020

Published in Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789811202391_0061

zbMATH Keywords

low interest rate environmentmodel of Joslin, Le and SingletonPCDTSM

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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(4)

• How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?
• A noisy principal component analysis for forward rate curves
• PRINCIPAL-COMPONENT-BASED GAUSSIAN AFFINE TERM STRUCTURE MODELS: CONSTRAINTS AND THEIR FINANCIAL IMPLICATIONS
• Principal component regression in GAMLSS applied to Greek–German government bond yield spreads

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