Scaled PCA: A new approach to dimension reduction
The notion that bond risk premium varies with business cycles is challenged once real time macro data are used. In this paper, we argue that the macro factors extracted by using the standard PCA are not the most relevant for forecasting bond risk premium, because the PCA factors are designed to expl...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/6216 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7215/viewcontent/SSRN_id3358911.pdf |
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| Institution: | Singapore Management University |
| Language: | English |