Latent factors of the term structure of yield curve

This post is a brief summary of how I found myself trying to learn how to model the term structure of the yield curve and the struggles that I faced.

If google brought you to this page in the late moments of your despair and agonising confusion with this model, I recommend you scroll straight to the bottom. The last six paragraphs might shed some light on the problems you are facing.

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The Probability of Roman Emperors

In my previous post I discussed how I came to be interested in probabilities, after having spent about a decade (which refers to a period of time of 10 years, and is not in any way associated with decadence… O_O (12’20”) ) making use of tools that assumed or did some calculations with probabilities. I mentioned it because it was interesting for me to realise what had made me care about it and seek out to learn more and because it might be interesting for other people. Who knows, may be you are struggling to find the motivation or interest in the topic necessary to really dig down into it, like I did. In that case may be going through those same things will help you find the focus you need.

If you’ve been one of the 150 or so people who make daily visits to my other website, Place du Luxembourg, you’ll also  have heard me go on about the Roman Empire. You’ll have noticed that I posted something about the evolution of the Roman Republic towards the Empire. You may have also read in other posts that I have not been writing because I’m trying to figure out some things about the fall of the Roman Empire. I’m still working (sporadically) on a final draft of that post, which after this much time cannot possibly measure up to my expectations, but anyway, I digress…

Nevertheless, I came across some interesting facts about autocrats and their regime. As it turns out it’s a pretty accidental lifestyle, characterised by an exponential distribution. But more importantly: Why and to what effect?

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Why I do a PhD and What it is about

Because I just started writing, I feel the need to do some explaining. In this case, as I mentioned, I’m doing a PhD. Let me explain where and why. If you are considering doing a PhD this and other related posts might be useful. It’s a fun enterprise but it can definitely be a bit franctinc

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Becoming interested in Probabilities

Recently, someone taught me some interesting concepts about pdfs and CDFs, namely regarding how to match the data to different theoretical distributions and test whether they are a match. This was interesting because while I’ve been quite familiar with those aspects of statistics, I’ve never really spent much time studying or researching them or through them. It’s always been in the background, informing the Confidence Tests and I remember looking at it in more detail when I did the pre-sessional statistics course prior to starting my masters, but really, it’s never something I spent much time thinking about.

That was until recently, when probabilities kind of .crawled their way to the forefront of my interest. As it turns out 5 things conspired to bring this about:

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What this is all about

After  sitting on this website for 3 months (+/-) , I’ve decided to follow the same principle I set for myself at Place du Luxembourg: Try to post at least once a week.

The tone will be much more relaxed here than on that website. I’m basically going to use this website as a repository of general thoughts that are not particularly relevant to that other website. My idea was transfer the clutter onto this website. Moreover, I’ve also come to realise that I’m stocking up more and more matlab files as I move on  to more sophisticated and detailed analysis, which I figure I can put here.

I’m going to use the other website to continue to comment on Europe and this one for everything else, including my PhD research,  any tangential quantitative analysis I may do and some thought that might occur to me while I’m doing whatever activity I’m paid to do (these days it’s writing research Briefs for the United Nations University’s World Institute for Development and Economic Research UNU WIDER and teaching seminars on introduction to economic analysis and international economics at the School of Oriental and African Studies).

So there you go! Now you (and I) know what this is all about and I’ve finally posted something here.