Principal component regression in GAMLSS applied to Greek-German government bond yield spreads
A solution to the problem of having to deal with a large number of interrelated explanatory variables within a generalized additive model for location, scale, and shape (GAMLSS) is given here using as an example the Greek-German government bond yield spreads from the 25th of April 2005 to the 31th o...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
SAGE Publications
2021
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| Subjects: | |
| Online Access: | https://repository.londonmet.ac.uk/6875/1/smj-PrincipalComponent.pdf |