Interest rate term structure dynamics using PCA and GARCH models with application to the Philippine government curve

The Basle II Accord motivates a study of permissible internal models which can potentially decrease risk capital requirements. A PCA-GARCH interest rate risk model is considered. PCA is introduced to reduce dimensionality in the Philippine Government Curve. Volatility dynamics are modeled using diff...

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主要作者: Pasamonte, Joseph Norman D.
格式: text
出版: Animo Repository 2005
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在線閱讀:https://animorepository.dlsu.edu.ph/etd_doctoral/100
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機構: De La Salle University