Theoretical and empirical analysis of common factors in a term structure model:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Newcastle upon Tyne
Cambridge Scholars
2009
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| Ausgabe: | 1. publ. |
| Online-Zugang: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Beschreibung: | XI, 38 S. graph. Darst. 22 cm |
| ISBN: | 9781443813112 1443813117 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804142976207683584 |
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| adam_text | THEORETICAL AND EMPIRICAL ANALYSIS OF COMMON FACTORS IN A TERM STRUCTURE
MODEL THEORETICAL AND EMPIRICAL ANALYSIS IX CONTENTS LIST OF TABLES X
LIST OF FIGURES XL 1. INTRODUCTION ] 2. COMMON FACTORS OF RANDOM
VARIABLES 4 3. COMMON FACTORS OF STOCHASTIC PROCESSES 10 3.1. THE
SETTING 10 3.2. THE PRINCIPAL COMPONENTS 11 3.3. THE NUMERICAL PROCEDURE
1] 3.4- USING EMPIRICAL FORMULA AS THE THEORETICAL ONE 13 4. MODELLING
THE US TREASURY BONDS 13 4.1. DATA 13 4.2. THE COMMON FACTOR MODEL 14
4.3. THE EMPIRICAL ERROR IN USING (4.1) 21 4.4. MODELING THE COMMON
FACTORS 21 4.5. LOADING COEFFICIENTS 2(1 5. THE INDEPENDENCY OF THE
FIRST TWO COMMON FACTORS 30 5.1. CORRELATION 30 5.2. THE KENDALL S R 30
5.3. COPULA 31 5.4. THE EMPIRICAL COPULA 33 6. CONCLUSION 36 REFERENCES
37
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| any_adam_object | 1 |
| author | Huang, Ting Ting |
| author_facet | Huang, Ting Ting |
| author_role | aut |
| author_sort | Huang, Ting Ting |
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| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.6323015118 |
| dewey-sort | 3332.6323015118 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| id | DE-604.BV036477260 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:40:19Z |
| institution | BVB |
| isbn | 9781443813112 1443813117 |
| language | English |
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| physical | XI, 38 S. graph. Darst. 22 cm |
| publishDate | 2009 |
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| publisher | Cambridge Scholars |
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| spelling | Huang, Ting Ting Verfasser aut Theoretical and empirical analysis of common factors in a term structure model by Ting Ting Huang 1. publ. Newcastle upon Tyne Cambridge Scholars 2009 XI, 38 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier DE-601 pdf/application http://www.gbv.de/dms/zbw/611246864.pdf kostenfrei Inhaltsverzeichnis GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020348838&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Huang, Ting Ting Theoretical and empirical analysis of common factors in a term structure model |
| title | Theoretical and empirical analysis of common factors in a term structure model |
| title_auth | Theoretical and empirical analysis of common factors in a term structure model |
| title_exact_search | Theoretical and empirical analysis of common factors in a term structure model |
| title_full | Theoretical and empirical analysis of common factors in a term structure model by Ting Ting Huang |
| title_fullStr | Theoretical and empirical analysis of common factors in a term structure model by Ting Ting Huang |
| title_full_unstemmed | Theoretical and empirical analysis of common factors in a term structure model by Ting Ting Huang |
| title_short | Theoretical and empirical analysis of common factors in a term structure model |
| title_sort | theoretical and empirical analysis of common factors in a term structure model |
| url | http://www.gbv.de/dms/zbw/611246864.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020348838&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT huangtingting theoreticalandempiricalanalysisofcommonfactorsinatermstructuremodel |
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