Please use this identifier to cite or link to this item:
http://repository.hneu.edu.ua/handle/123456789/23267| Title: | Ukraine bond market: yield curve analysis |
| Authors: | Chernova N. L. Prokopovych S. V. |
| Keywords: | bond market price yield yield yield curve principal component |
| Issue Date: | 2019 |
| Citation: | Chernova N. Ukraine bond market: yield curve analysis / N. Chernova, S. Prokopovych // Conference Proceedings of the 2nd International Scientific Conference Economic and Social-Focused Issues of Modern World (October 16 - 17, 2019, Bratislava, Slovak Republic). The School of Economics and Management in Public Administration in Bratislava, 2019, - pp. 394, illus., tabs., bibls. p. 30-34. |
| Abstract: | The state of the bond market can be described using yield to maturity (YTM) curve which is a graphical representation of the dependence between the YTM of bonds of equal credit quality and their duration. It is proposed to change the original system of YTM indicators to the system of principal components which are linear orthogonal combinations of initial indicators. The obtained principal components can be predicted. In turn, each point of the yield curve can be restored from the predicted values of the principal components. |
| URI: | http://repository.hneu.edu.ua/handle/123456789/23267 |
| Appears in Collections: | Статті (ЕКСА) |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Чернова Прокопович_Братислава.pdf | 5,51 MB | Adobe PDF | View/Open |
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