A Multivariate Latent Factor Decomposition of International Bond Yield Spreads
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 to compute estimates of the unknown parameters. The sampling performance of this estimator is investigated and compared with an alternative direct estimator based on the Kalman predictor. The factor model is...[Show more]
|Collections||ANU Research Publications|
|Source:||Journal of Applied Econometrics|
|01_Dungey_A_Multivariate_Latent_Factor_2000.pdf||194.68 kB||Adobe PDF||Request a copy|
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.