Archetypal analysis of European 10-year government bond yields with multidimensional scaling of two-mode three-way asymmetric dissimilarities

Abstract

A recent methodology for extracting archetypal profiles from three-way asymmetric proximity data is applied to a dataset comprising 23 x 23 x 3 two-mode, three-way asymmetric dissimilarity matrices. The asymmetric dissimilarities are based on the oriented wavelet squared coherence of 10-year government bond yields among 23 European countries across three time intervals from 2001 to the present. First, the h-plot is computed for the unconditional two-mode three-way data, which is then represented in a unified Euclidean space, providing an intuitive and interpretable visualization. Subsequently, archetypoid analysis is performed. This unsupervised methodology identifies the archetypal countries and expresses all remaining countries as mixtures of these archetypal instances. Additionally, the degree of asymmetry for each country is calculated, offering further insight into the structure of the dissimilarities. The dataset and code are provided to support reproducible research.