Multi-level factor analysis of bond risk premia
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Publication:2691724
DOI10.1515/SNDE-2015-0080OpenAlexW2744579861MaRDI QIDQ2691724
Yuhyeon Bak, Dukpa Kim, Yunjung Kim
Publication date: 30 March 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2015-0080
Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Uses Software
Cites Work
- Evaluating latent and observed factors in macroeconomics and finance
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Measuring World Business Cycles
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
- Determining the number of global and country-specific factors in the euro area
- Tests of equal forecast accuracy and encompassing for nested models
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