Ukraine bond market: yield curve analysis

dc.contributor.author	Chernova N. L.
dc.contributor.author	Prokopovych S. V.
dc.description.abstract	The state of the bond market can be described using yield to maturity (YTM) curve which is a graphical representation of the dependence between the YTM of bonds of equal credit quality and their duration. It is proposed to change the original system of YTM indicators to the system of principal components which are linear orthogonal combinations of initial indicators. The obtained principal components can be predicted. In turn, each point of the yield curve can be restored from the predicted values of the principal components.
dc.identifier.citation	Chernova N. Ukraine bond market: yield curve analysis / N. Chernova, S. Prokopovych // Conference Proceedings of the 2nd International Scientific Conference Economic and Social-Focused Issues of Modern World (October 16 - 17, 2019, Bratislava, Slovak Republic). The School of Economics and Management in Public Administration in Bratislava, 2019, - pp. 394, illus., tabs., bibls. p. 30-34.
dc.identifier.uri	http://repository.hneu.edu.ua/handle/123456789/23267
dc.language.iso	en
dc.subject	bond market
dc.subject	price
dc.subject	yield
dc.subject	yield
dc.subject	yield curve
dc.subject	principal component
dc.title	Ukraine bond market: yield curve analysis

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