| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5085073 | International Review of Financial Analysis | 2012 | 9 Pages |
Abstract
⺠We find common factors in bond returns for the USA, UK, and Germany from 1985 to 2005. ⺠The factors for each country are estimated using principal components analysis (PCA). ⺠We use CPCA, a multivariate extension to PCA, and PCA to obtain the common factors. ⺠The common factors are interpreted using factor mimicking portfolio regressions. ⺠We show that the power of tests of inference for CPCA for this sample is limited.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Januj Juneja,