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Research Article

Extraction of proxy relative sovereign bond yield curve factors

References

  • Chen, Y., and K. P. Tsang. 2013. “What Does the Yield Curve Tell Us about Exchange Rate Predictability?” Review of Economics and Statistics 95: 185–205. doi:10.1162/REST_a_00231.
  • Diebold, F. X., G. D. Rudebusch, and S. B. Aruoba. 2006. “The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach.” Journal of Econometrics 131: 309–338. doi:10.1016/j.jeconom.2005.01.011.
  • Newey, W. K., and K. D. West. 1987. “A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica 55 (3): 703–708. doi:10.2307/1913610.
  • Wellmann, D., and S. Trück. 2018. “Factors of the Term Structure of Sovereign Yield Spreads.” Journal of International Money and Finance 81: 56–75. doi:10.1016/j.jimonfin.2017.10.006.

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