A multivariate latent factor decomposition of international bond yield spreads
通过分解国际利率利差为国家和全球潜在因子，并假设因子具有GARCH特性和序列依赖，使用间接估计法分析1991-1999年五国与美国长期债券利差的周度数据，帮助理解国际投资者的最优投资组合决策。
Abstract A factor analysis of long‐term bond spreads is performed by decomposing international interest rate spreads into national and global factors. The factors are latent, and are assumed to have GARCH‐type specifications as well as exhibiting serial dependence. An indirect estimator is used to compute estimates of the unknown parameters. The sampling performance of this estimator is investigated and compared with an alternative direct estimator based on the Kalman predictor. The factor model is applied to weekly data on long‐bond spreads between five countries ‐ Australia, Japan, Germany, Canada and the UK ‐ and the USA over the period 1991 to 1999. The resulting factor decomposition is used to examine the international investor's optimal portfolio decision in a mean‐variance framework. Copyright © 2000 John Wiley & Sons, Ltd.