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Principal Component Analysis of the UK Term Structure & Its Application to Immunisation Strategies

https://doi.org/10.2139/ssrn.1678844
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1017/s0022109000001903openalex-extracted
The Performance of Alternative Interest Rate Risk Measures and Immunization Strategies under a Heath-Jarrow-Morton Framework
inferredcites →https://doi.org/10.1080/13504860600661111openalex-extracted
Level–Slope–Curvature – Fact or Artefact?
inferredcites →https://doi.org/10.1086/259035openalex-extracted
Interest-Rate Risk and the Term Structure of Interest Rates
inferredcites →https://doi.org/10.1086/296409openalex-extracted
Parsimonious Modeling of Yield Curves
inferredcites →https://doi.org/10.1111/j.1540-6288.1999.tb00458.xopenalex-extracted
Bond Immunization for Affine Term Structures
inferredcites →https://doi.org/10.2139/ssrn.1082833openalex-extracted
An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates
inferredcites →https://doi.org/10.2139/ssrn.985404openalex-extracted
Using Principal Component Analysis to Explain Term Structure Movements: Performance and Stability
inferredcites →https://doi.org/10.3905/jfi.1991.692347openalex-extracted
Common Factors Affecting Bond Returns
inferredcites →https://doi.org/10.3905/jfi.1995.408146openalex-extracted
Yield Curve Shifts and the Selection of Immunization Strategies
inferredcites →https://doi.org/10.3905/jpm.1997.409612openalex-extracted
Measuring Yield Curve Risk Using Principal Components, Analysis, Value, At Risk, And Key Rate Durations
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