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Latent-structure decompositions (projections) of multivariate data

✍ Scribed by Olav M. Kvalheim

Book ID
103618179
Publisher
Elsevier Science
Year
1987
Tongue
English
Weight
833 KB
Volume
2
Category
Article
ISSN
0169-7439

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πŸ“œ SIMILAR VOLUMES

A multivariate latent factor decompositi
A multivariate latent factor decomposition of international bond yield spreads
✍ Mardi Dungey; Vance L Martin; Adrian R Pagan πŸ“‚ Article πŸ“… 2000 πŸ› John Wiley and Sons 🌐 English βš– 195 KB

## Abstract A factor analysis of long‐term bond spreads is performed by decomposing international interest rate spreads into national and global factors. The factors are latent, and are assumed to have GARCH‐type specifications as well as exhibiting serial dependence. An indirect estimator is used