fabriziobasso / PCAapplied_and_European_Yield_CurveLinks
This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) technique on the European AAA-rated Government Bond Yield curve. The PCA can greatly simplify the problem of modelling the yield curve by massively reducing its dimensionality to a small set of uncorrelated features. …
☆18Updated 5 years ago
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