In this work we apply Independent Component Analysis (ICA) to the identification of the factors driving spot rates curve movements. A comparison between the standard Principal Components Analysis (PCA) approach and ICA is carried out both from a theoretical point of view, critically analyzing the negentropy based approach to ICA, and from an empirical point of view, where the performance of immunization strategies based on PCA and ICA are tested.

Bellini, F., Salinelli, E. (2003). Independent component analysis and immunization: An exploratory study. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 6(7), 721-738.

Independent component analysis and immunization: An exploratory study

BELLINI, FABIO;
2003

Abstract

In this work we apply Independent Component Analysis (ICA) to the identification of the factors driving spot rates curve movements. A comparison between the standard Principal Components Analysis (PCA) approach and ICA is carried out both from a theoretical point of view, critically analyzing the negentropy based approach to ICA, and from an empirical point of view, where the performance of immunization strategies based on PCA and ICA are tested.
Articolo in rivista - Articolo scientifico
ICA, PCA, mutual information, term structure movements, immunization
English
721
738
Bellini, F., Salinelli, E. (2003). Independent component analysis and immunization: An exploratory study. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 6(7), 721-738.
Bellini, F; Salinelli, E
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/852
Citazioni
  • Scopus 3
  • ???jsp.display-item.citation.isi??? ND
Social impact