Similar Search Results

Level-slope-curvature : fact or artefact?

Lord, Roger; Pelsser, Antoon André Jean - In: Applied mathematical finance 14 (2007) 2, pp. 105-130

Persistent link: https://www.econbiz.de/10003542978

Measuring risk in fixed income portfolios using yield curve models

Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Computational economics 46 (2015) 1, pp. 65-82

Persistent link: https://www.econbiz.de/10011441011

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

Factor models and the correlation structure of interest rates : some evidence for USD, GBP, DEM and JPY

Lekkos, Ilias - In: Journal of banking & finance 25 (2001) 8, pp. 1427-1445

Persistent link: https://www.econbiz.de/10001594005

Yield curve modeling and forecasting using semiparametric factor dynamics

Härdle, Wolfgang; Majer, Piotr - In: The European journal of finance 22 (2016) 10/12, pp. 1109-1129

Persistent link: https://www.econbiz.de/10011715314

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

Essays on financial markets and the macroeconomy

Mönch, Emanuel - 2006

Persistent link: https://www.econbiz.de/10003412031

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

Identification of the linear factor model

Williams, Benjamin D. - In: Econometric reviews 39 (2020) 1, pp. 92-109

Persistent link: https://www.econbiz.de/10012181544

Is there a missing factor? : a canonical correlation approach to factor models

Ahn, Seung Chan; Dieckmann, Stephan; Perez, M. Fabricio - In: Review of financial economics : RFE 36 (2018) 4, pp. 321-347

Persistent link: https://www.econbiz.de/10011948619

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