Decomposing the Sri Lanka Yield Curve Using Principal Component Analysis to Examine the Term Structure of the Interest Rate-Reference-Cited by-同舟云学术

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Decomposing the Sri Lanka Yield Curve Using Principal Component Analysis to Examine the Term Structure of the Interest Rate

Published:2024-08-27 Issue: Volume:6 Page:62
ISSN:
Container-title:The 10th International Conference on Time Series and Forecasting
language:
Short-container-title:

Author:

Dayarathne K P N Sanjeewa¹,Thayasivam Uthayasanker¹^ORCID

Affiliation:

1. Department of Computer Science & Engineering, University of Moratuwa, Moratuwa 10400, Sri Lanka

Publisher

MDPI

Link

https://www.mdpi.com/2673-4591/68/1/62/pdf

Reference37 articles.

1. Rudebusch, G.D., and Williams, J.C. (2023, January 30). Forecasting Recessions: The Puzzle of the Enduring Power of the Yield Curve, FRB of San Francisco Working Paper No. 2007-16. Available online: https://www.frbsf.org/wp-content/uploads/wp07-16bk.pdf.

2. Puglia, M., and Tucker, A. (2023, January 30). Machine Learning, the Treasury Yield Curve and Recession Forecasting. Available online: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3624931.

3. Constructing the Yield Curve for Sri Lankas Government Bond Market. International;Rathnasingha;J. Bus. Econ. Aff.,2021

4. Pricing the term structure with linear regressions;Zabczyk;J. Financ. Econ.,2013

5. A structural decomposition of the US yield curve;Ferre;J. Monet. Econ.,2009

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