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Blaskowitz, Oliver Jim
In Chapters 1 to 4 we adopt a principal components analysis (PCA) to reduce the dimensionality of the term structure and employ autoregressive (AR) models to forecast principal components which, in turn, are used to forecast swap rates. Arguing in fa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::fc07cac5cf71849fd115c552c37777d8
https://macau.uni-kiel.de/receive/diss_mods_00004597
https://macau.uni-kiel.de/receive/diss_mods_00004597
