Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling-Reference-Cited by-同舟云学术

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Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling

Published:2023-02 Issue:3 Volume:304 Page:1331-1348
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Atkins Philip J.^ORCID,Cummins Mark^ORCID

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference40 articles.

1. Market risk analysis, practical financial econometrics;Alexander,2008

2. Market risk analysis, value at risk models;Alexander,2009

3. A dynamic Cholesky data imputation method for correlation structure consistency;Atkins;Applied Economics Letters,2022

4. Estimation of multivariate asset models with jumps;Ballotta;Journal of Financial and Quantitative Analysis,2019

5. Immunization using principal component analysis;Barber;The Journal of Portfolio Management,1996

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