{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,6]],"date-time":"2026-10-06T12:53:07Z","timestamp":1791291187769,"version":"4.3.0"},"reference-count":24,"publisher":"Wiley","issue":"6","license":[{"start":{"date-parts":[[2001,2,5]],"date-time":"2001-02-05T00:00:00Z","timestamp":981331200000},"content-version":"vor","delay-in-days":96,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2000,11]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>A factor analysis of long\u2010term 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\u2010type 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\u2010bond spreads between five countries \u2010 Australia, Japan, Germany, Canada and the UK \u2010 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\u2010variance framework. Copyright \u00a9 2000 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.584","type":"journal-article","created":{"date-parts":[[2002,8,25]],"date-time":"2002-08-25T21:28:49Z","timestamp":1030310929000},"page":"697-715","source":"Crossref","is-referenced-by-count":81,"title":["A multivariate latent factor decomposition of international bond yield spreads"],"prefix":"10.1002","volume":"15","author":[{"given":"Mardi","family":"Dungey","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Vance L","family":"Martin","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Adrian R","family":"Pagan","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2001,2,5]]},"reference":[{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0261-5606(98)00032-1"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(96)01819-2"},{"key":"e_1_2_1_4_1","volume-title":"Economic Forecasting","author":"Blundell\u2010Wignall A.","year":"2000"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0164-0704(96)80059-0"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950040102"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951768"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1049-0078(00)00030-0"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0014-2921(86)90009-7"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0297.1997.tb00002.x"},{"key":"e_1_2_1_11_1","unstructured":"1995 University of Toulouse Mimeo. A. Frachot J. P. Lesne E. Renault Indirect inference estimation of yield curve factor models"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600006976"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1998.10474083"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-1860-9"},{"key":"e_1_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950080507"},{"key":"e_1_2_1_16_1","unstructured":"Gourieroux C. E.RenaultandN.Touzi(1995) \u2018Calibration by simulation for small sample bias correction\u2019 Mimeo."},{"key":"e_1_2_1_17_1","first-page":"S120\u2013S140","article-title":"Sources of variation in international real interest rates","volume":"18","author":"Gregory A. W.","year":"1995","journal-title":"Canadian Journal of Economics"},{"key":"e_1_2_1_18_1","first-page":"12","article-title":"Determinants of long\u2010term interest rates: an empirical study of several industrial countries","author":"Howe H.","year":"1991","journal-title":"Federal Reserve Bank of New York Quarterly Review"},{"key":"e_1_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391528"},{"key":"e_1_2_1_20_1","unstructured":"1999 University of Iowa Mimeo M. A. Kose C. Otrok C. Whiteman International business cycles: world region and country\u2010specific factors"},{"key":"e_1_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0927-5398(94)90006-X"},{"key":"e_1_2_1_22_1","volume-title":"Simulation Based Estimation in Econometrics","author":"Martin V. L.","year":"2000"},{"key":"e_1_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90072-Y"},{"key":"e_1_2_1_24_1","series-title":"Handbook of Statistics","volume-title":"Statistical Methods in Finance","author":"Pagan A. R.","year":"1996"},{"key":"e_1_2_1_25_1","unstructured":"Reserve Bank of Australia(1999) \u2018Semi\u2010Annual Statement on Monetary Policy\u2019 May 1999."}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.584","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.584","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,11]],"date-time":"2023-09-11T17:35:44Z","timestamp":1694453744000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.584"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2000,11]]},"references-count":24,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2000,11]]}},"alternative-id":["10.1002\/jae.584"],"URL":"https:\/\/doi.org\/10.1002\/jae.584","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2000,11]]}}}