Matches in SemOpenAlex for { <https://semopenalex.org/work/W4312107605> ?p ?o ?g. }
Showing items 1 to 71 of
71
with 100 items per page.
- W4312107605 abstract "Level, slope, and curvature are three commonly-believed principal components in interest rate term structure and are thus widely used in modeling. This paper characterizes the heterogeneity of how misspecified such models are through time. Presenting the orthonormal basis in the Nelson-Siegel model interpretable as the three factors, we design two nonparametric tests for whether the basis is equivalent to the data-driven functional principal component basis underlying the yield curve dynamics, considering the ordering of eigenfunctions or not, respectively. Eventually, we discover high dispersion between the two bases when rare events occur, suggesting occasional misspecification even if the model is overall expressive." @default.
- W4312107605 created "2023-01-04" @default.
- W4312107605 creator A5015690195 @default.
- W4312107605 date "2022-12-21" @default.
- W4312107605 modified "2023-09-26" @default.
- W4312107605 title "Inference for Model Misspecification in Interest Rate Term Structure using Functional Principal Component Analysis" @default.
- W4312107605 doi "https://doi.org/10.48550/arxiv.2212.10790" @default.
- W4312107605 hasPublicationYear "2022" @default.
- W4312107605 type Work @default.
- W4312107605 citedByCount "0" @default.
- W4312107605 crossrefType "posted-content" @default.
- W4312107605 hasAuthorship W4312107605A5015690195 @default.
- W4312107605 hasBestOaLocation W43121076051 @default.
- W4312107605 hasConcept C102366305 @default.
- W4312107605 hasConcept C105795698 @default.
- W4312107605 hasConcept C117222624 @default.
- W4312107605 hasConcept C121332964 @default.
- W4312107605 hasConcept C12426560 @default.
- W4312107605 hasConcept C149782125 @default.
- W4312107605 hasConcept C154945302 @default.
- W4312107605 hasConcept C168167062 @default.
- W4312107605 hasConcept C176230804 @default.
- W4312107605 hasConcept C195065555 @default.
- W4312107605 hasConcept C2524010 @default.
- W4312107605 hasConcept C27438332 @default.
- W4312107605 hasConcept C2776214188 @default.
- W4312107605 hasConcept C33923547 @default.
- W4312107605 hasConcept C41008148 @default.
- W4312107605 hasConcept C51820054 @default.
- W4312107605 hasConcept C5806529 @default.
- W4312107605 hasConcept C61797465 @default.
- W4312107605 hasConcept C62520636 @default.
- W4312107605 hasConcept C71176878 @default.
- W4312107605 hasConcept C97355855 @default.
- W4312107605 hasConceptScore W4312107605C102366305 @default.
- W4312107605 hasConceptScore W4312107605C105795698 @default.
- W4312107605 hasConceptScore W4312107605C117222624 @default.
- W4312107605 hasConceptScore W4312107605C121332964 @default.
- W4312107605 hasConceptScore W4312107605C12426560 @default.
- W4312107605 hasConceptScore W4312107605C149782125 @default.
- W4312107605 hasConceptScore W4312107605C154945302 @default.
- W4312107605 hasConceptScore W4312107605C168167062 @default.
- W4312107605 hasConceptScore W4312107605C176230804 @default.
- W4312107605 hasConceptScore W4312107605C195065555 @default.
- W4312107605 hasConceptScore W4312107605C2524010 @default.
- W4312107605 hasConceptScore W4312107605C27438332 @default.
- W4312107605 hasConceptScore W4312107605C2776214188 @default.
- W4312107605 hasConceptScore W4312107605C33923547 @default.
- W4312107605 hasConceptScore W4312107605C41008148 @default.
- W4312107605 hasConceptScore W4312107605C51820054 @default.
- W4312107605 hasConceptScore W4312107605C5806529 @default.
- W4312107605 hasConceptScore W4312107605C61797465 @default.
- W4312107605 hasConceptScore W4312107605C62520636 @default.
- W4312107605 hasConceptScore W4312107605C71176878 @default.
- W4312107605 hasConceptScore W4312107605C97355855 @default.
- W4312107605 hasLocation W43121076051 @default.
- W4312107605 hasOpenAccess W4312107605 @default.
- W4312107605 hasPrimaryLocation W43121076051 @default.
- W4312107605 hasRelatedWork W2053419126 @default.
- W4312107605 hasRelatedWork W2230970864 @default.
- W4312107605 hasRelatedWork W2312404542 @default.
- W4312107605 hasRelatedWork W2483299250 @default.
- W4312107605 hasRelatedWork W2605967135 @default.
- W4312107605 hasRelatedWork W273216563 @default.
- W4312107605 hasRelatedWork W2801924676 @default.
- W4312107605 hasRelatedWork W2963184067 @default.
- W4312107605 hasRelatedWork W3124114881 @default.
- W4312107605 hasRelatedWork W4311868875 @default.
- W4312107605 isParatext "false" @default.
- W4312107605 isRetracted "false" @default.
- W4312107605 workType "article" @default.