Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach
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More about this item
Keywords
Principal Components Analysis (PCA); Expectations Hypothesis; Excess Bond Returns; Factor Models.;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- E00 - Macroeconomics and Monetary Economics - - General - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
Statistics
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