Principal component analysis of yield curve movements-Reference-Cited by-同舟云学术

Principal component analysis of yield curve movements

Published:2010-08-11 Issue:3 Volume:36 Page:750-765
ISSN:1055-0925
Container-title:Journal of Economics and Finance
language:en
Short-container-title:J Econ Finan

Author:

Barber Joel R.,Copper Mark L.

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics,Finance

Link

http://link.springer.com/content/pdf/10.1007/s12197-010-9142-y.pdf

Reference16 articles.

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2. Barber JR, Copper ML (1996) Immunization using principal component analysis. J Portf Manage 23(1):99–105

3. Bliss RR (1997) Testing term structure estimation methods. Adv Futures Options Res 9:197–231

4. Dungey M, Martin VL, Pagan AR (2000) A multi-variate latent factor decomposition of international bond yield spreads. J Appl Econ 15(6):697–715

5. Falkenstein E, Hanweck JJ (1997) Minimizing basis risk from non-parallel shifts in the yield curve—part ii: principal components. J Fixed Income 7(1):85

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