Dynamic Term Structure Models Using Principal Components Analysis Near the Zero Lower Bound

Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning ◽

10.1142/9789811202391_0061 ◽

2020 ◽

pp. 2199-2250

Author(s):

Januj Juneja

Keyword(s):

Lower Bound ◽

Principal Components Analysis ◽

Term Structure ◽

Principal Components ◽

Zero Lower Bound ◽

Term Structure Models ◽

Components Analysis

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A Tractable Framework for Zero-Lower-Bound Gaussian Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.2310990 ◽

2013 ◽

Author(s):

Leo Krippner

Keyword(s):

Lower Bound ◽

Term Structure ◽

Zero Lower Bound ◽

Term Structure Models

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Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound

SSRN Electronic Journal ◽

10.2139/ssrn.2006063 ◽

2012 ◽

Author(s):

Leo Krippner

Keyword(s):

Lower Bound ◽

Interest Rates ◽

Term Structure ◽

Zero Lower Bound ◽

Term Structure Models

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Dynamic Term Structure Models: The Best Way to Enforce the Zero Lower Bound in the United States

SSRN Electronic Journal ◽

10.2139/ssrn.2667562 ◽

2015 ◽

Author(s):

Martin M. Andreasen ◽

Andrew Meldrum

Keyword(s):

United States ◽

Lower Bound ◽

Term Structure ◽

The United States ◽

Zero Lower Bound ◽

Term Structure Models

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Likelihood Inference in Non-Linear Term Structure Models: The Importance of the Zero Lower Bound

SSRN Electronic Journal ◽

10.2139/ssrn.1738206 ◽

2011 ◽

Author(s):

Martin M. Andreasen ◽

Andrew Meldrum

Keyword(s):

Lower Bound ◽

Term Structure ◽

Linear Term ◽

Likelihood Inference ◽

Zero Lower Bound ◽

Term Structure Models ◽

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Common factors, principal components analysis, and the term structure of interest rates

International Review of Financial Analysis ◽

10.1016/j.irfa.2012.07.004 ◽

2012 ◽

Vol 24 ◽

pp. 48-56 ◽

Author(s):

Januj Juneja

Keyword(s):

Interest Rates ◽

Principal Components Analysis ◽

Term Structure ◽

Principal Components ◽

Common Factors ◽

Components Analysis

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Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound

SSRN Electronic Journal ◽

10.2139/ssrn.1950439 ◽

2011 ◽

Author(s):

Leo Krippner

Keyword(s):

Lower Bound ◽

Interest Rates ◽

Term Structure ◽

Zero Lower Bound ◽

Term Structure Models

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Faster Solutions for Black Zero Lower Bound Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.2330641 ◽

2013 ◽

Author(s):

Leo Krippner

Keyword(s):

Lower Bound ◽

Term Structure ◽

Zero Lower Bound ◽

Term Structure Models

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Efficient Jacobian Evaluations for Estimating Zero Lower Bound Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.2367062 ◽

2013 ◽

Author(s):

Leo Krippner

Keyword(s):

Lower Bound ◽

Term Structure ◽

Zero Lower Bound ◽

Term Structure Models

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Neural network based principal components analysis for EEG pre-processing and analysis

Electroencephalography and Clinical Neurophysiology ◽

10.1016/s0013-4694(97)88499-8 ◽

1997 ◽

Vol 103 (1) ◽

pp. 115

Author(s):

S Petránek

Keyword(s):

Neural Network ◽

Principal Components Analysis ◽

Principal Components ◽

Components Analysis

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Principal Components Analysis of the Old and the New: The SAT vs. the CSUC English Placement Test

Measurement and Evaluation in Guidance ◽

10.1080/00256307.1978.12022165 ◽

1978 ◽

Vol 11 (3) ◽

pp. 162-168 ◽

Author(s):

Roger L. Bailey

Keyword(s):

Principal Components Analysis ◽

Principal Components ◽

Placement Test ◽

Components Analysis

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