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

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

In this study, we delve into the dynamics of the Sri Lankan government bond market, building upon prior research that focused on the application of principal component analysis (PCA) in modelling sovereign yield curves. Our analysis encompasses data spanning from January 2010 to August 2022. The stu...

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Bibliographic Details
Main Authors: K P N Sanjeewa Dayarathne, Uthayasanker Thayasivam
Format: Article
Language:English
Published: MDPI AG 2024-08-01
Series:Engineering Proceedings
Subjects:
principal component analysis (PCA)
bond yields
yield curve modeling
Sri Lanka bond market
functional data
Online Access:https://www.mdpi.com/2673-4591/68/1/62
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