Estimation and testing of latent factors in term structure of interest rates
Factor analysis has contributed imperatively towards solving the dimensionality problem and identifying the underlying factor structure governing term structure of interest rates. The estimated latent factors are known as level, slope, and curvature. These factors can be estimated using Principal Co...
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City University London
2008
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.510459 |