Dynamics of Interest Rate Curve by Functional Auto-Regression
Year of publication: |
2004-04-07
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Authors: | Kargin, Vladislav ; Onatski, Alexei |
Institutions: | EconWPA |
Subject: | functional data analysis | term structure | principal components | canonical correlations | singular value decomposition |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - pdf; pages: 22 22 pages |
Classification: | C14 - Semiparametric and Nonparametric Methods ; E43 - Determination of Interest Rates; Term Structure Interest Rates |
Source: |
-
Dynamics of Interest Rate Curve by Functional Auto-regression
Onatski, Alexei, (2004)
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Puzzling Integratedness of Interest Rates: A Case for Nonparametric Threshold Cointegration?
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Bayesian non-linear modellings of the short term US interest rate: the help of non-parametric tools
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Dynamics of Interest Rate Curve by Functional Auto-Regression
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