Autore
Salinelli, Ernesto

Titolo
Indipendent component analysis and immunization: an exploratory study.
Periodico
Università degli Studi del Piemonte Orientale 'A. Avogadro' : Facoltà di Economia - Dipartimento di Scienze Economiche e Metodi Quantitativi "SEMEQ" - Quaderni
Anno: 2002 - Volume: 02 - Fascicolo: 40 - Pagina iniziale: 1 - Pagina finale: 19

In this work we apply Independent Component Analysis to the individuation of the factors driving spot rates curve movements. A comparison between thè standard PCA approach and ICA is carried out both from a theoretical point of view, critically analizing 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 compared.




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