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Level-slope-curvature : fact or artefact?

Lord, Roger; Pelsser, Antoon André Jean - 2005

conditions have the nice interpretation of restricting the level, slope and curvature of the correlation surface. It is proven … that the Schoenmakers-Coffey correlation matrix also brings along such factors. Finally, we formulate and corroborate our … conjecture that the order present in correlation matrices causes slope. …

Persistent link: https://www.econbiz.de/10011346478

A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure

Blaskowitz, Oliver (contributor); … - 2008

The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of...

Persistent link: https://www.econbiz.de/10003770821

Inference on the maximal rank of time-varying covariance matrices using high-frequency data

Reiß, Markus; Winkelmann, Lars - 2021

We study the rank of the instantaneous or spot covariance matrix Σ(t) of a multidimensional continuous semi-martingale X(t). Given highfrequency observations X(i=n), i = 0; : : : ;n, we test the null hypothesis rank (Σ(t)) ≤ r for all t against local alternatives where the average (r + 1)st...

Persistent link: https://www.econbiz.de/10012655380

On the use of spectral value decomposition for the construction of composite indices

Farnia, Luca - 2019

High dimensional composite index makes experts' preferences in setting weights a hard task. In the literature, one of the approaches to derive weights from a data set is Principal Component or Factor Analysis that, although conceptually different, they are similar in results when FA is based on...

Persistent link: https://www.econbiz.de/10011999119

Yield curve in Bosnia and Herzegovina : financial and macroeconomic framework

Baskot, Bojan; Orsag, Silvije; Mikerevic, Dejan - In: UTMS journal of economics / University of Tourism and … 9 (2018) 1, pp. 1-15

Finance and macroeconomics have different perspectives on the yield curve. In the case of Bosnia and Herzegovina, specific context, data issue and financial market that is in its developing phase, do not allow us to have one, unique perspective. The Nelson-Siegel yield curve model could be...

Persistent link: https://www.econbiz.de/10011901661

Modeling Euro Area Bond Yields Using a Time-Varying Factor Model

Adam, Tomas - 2017

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model with time-varying loading coeffi cients and stochastic volatility, which allows for capturing changes in the pricing mechanism of bond yields. Our key contribution is exploring...

Persistent link: https://www.econbiz.de/10012963728

Structural factor analysis of interest rate pass through in four large Euro Area economies

Banerjee, Anindya; Bystrov, Victor; Mizen, Paul - 2017

Persistent link: https://www.econbiz.de/10011886367

Modeling euro area bond yields using a time-varying factor model

Adam, Tomáš; Lo Duca, Marco - 2017

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing mechanism of bond yields. Our key contribution is exploring...

Persistent link: https://www.econbiz.de/10011637545

Structural factor analysis of interest rate pass through in four large euro area economies

Banerjee, Anindya; Bystrov, Victor; Mizen, Paul - 2019

Persistent link: https://www.econbiz.de/10012174400

Robust Estimation of Constrained Covariance Matrices for Confirmatory Factor Analysis

Dupuis Lozeron, Elise; Victoria-Feser, Maria-Pia - 2011

Confirmatory factor analysis (CFA) is a data anylsis procedure that is widely used in social and behavioral sciences in general and other applied sciences that deal with large quantities of data (variables). The classical estimator (and inference) procedures are based either on the maximum...

Persistent link: https://www.econbiz.de/10014186079