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Treasury Yield Curve PCA Residuals Z-Score Relative Value

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Treasury PCA Z-score RV

The goal of this model is to use PCA to reduce the dimensionality of the Treasury Yield Curve. Then calculate the residuals values, by using the fitted values from the PCA. With the residuals we can find their relative-value through their z-scores.

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Treasury Yield Curve PCA Residuals Z-Score Relative Value

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