What is the Effect of Restrictions Imposed by Principal Components Analysis on the Empirical Performance of Dynamic Term Structure Models?
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Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s10614-024-10644-y.pdf
Reference67 articles.
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3. Aït-Sahalia, Y., & Kimmel, R. (2010). Estimating affine multifactor term structure models using closed-form likelihood expansions. Journal of Financial Economics, 98, 113–144. https://doi.org/10.1016/j.jfineco.2010.05.004
4. Aït-Sahalia, Y., & Xiu, D. (2017). Using principal component analysis to estimate a high dimensional factor model with high-frequency data. Journal of Econometrics, 201, 384–399. https://doi.org/10.1016/j.jeconom.2017.08.015
5. Aït-Sahalia, Y., & Xiu, D. (2019). Principal components analysis of high-frequency data. Journal of the American Statistical Association, 114, 287–303. https://doi.org/10.1080/01621459.2017.1401542
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