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

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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書目詳細資料
主要作者:	Pasamonte, Joseph Norman D.
格式:	text
出版:	Animo Repository 2005
主題:	Interest rates > Mathematical models
在線閱讀:	https://animorepository.dlsu.edu.ph/etd_doctoral/100
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!

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