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The use of principal component analysis (PCA) in building yield curve scenarios and identifying relative-value trading opportunities on the Romanian government bond market
Oprea, Andreea - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-37
Based on previous research addressing the use of principal component analysis (PCA) in modeling the dynamics of sovereign yield curves, in this paper, we investigate certain characteristics of the Romanian government bond market. We perform PCA on data between March 2019 and March 2022, with...
Persistent link: https://www.econbiz.de/10013273600
Cover Image
The use of principal component analysis (PCA) in building yield curve scenarios and identifying relative-value trading opportunities on the Romanian government bond market
Oprea, Andreea - In: Journal of Risk and Financial Management 15 (2022) 6, pp. 1-37
Based on previous research addressing the use of principal component analysis (PCA) in modeling the dynamics of sovereign yield curves, in this paper, we investigate certain characteristics of the Romanian government bond market. We perform PCA on data between March 2019 and March 2022, with...
Persistent link: https://www.econbiz.de/10014332448