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"Improved scalability and risk factor proxying with a two-step principal ..."
Philip J. Atkins, Mark Cummins (2023)
- Philip J. Atkins, Mark Cummins:
Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling. Eur. J. Oper. Res. 304(3): 1331-1348 (2023)
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