Term structure models during the global financial crisis: a parsimonious text mining approach

DOI10.1007/s10690-018-09267-9zbMath1422.91738WikidataQ128636844 ScholiaQ128636844MaRDI QIDQ2326980

Seisho Sato, Akihiko Takahashi, Kiyohiko Giichi Nishimura

Publication date: 11 October 2019

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2018/2018cf1101.pdf

zbMATH Keywords

text mining; term structure model; factor model; Monte Carlo filter; market sentiment; quadratic Gaussian model

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G30: Interest rates, asset pricing, etc. (stochastic models)

Related Items

Equilibrium multi-agent model with heterogeneous views on fundamental risks, A robust-filtering method for noisy non-stationary multivariate time series with econometric applications

Uses Software

• MeCab

Cites Work

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• A Monte Carlo filtering approach for estimating the term structure of interest rates