Holdings: Theoretical and empirical analysis of common factors in a term structure model

Theoretical and empirical analysis of common factors in a term structure model:

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Bibliographic Details
Main Author:	Huang, Ting Ting (Author)
Format:	Book
Language:	English
Published:	Newcastle upon Tyne Cambridge Scholars 2009
Edition:	1. publ.
Online Access:	Inhaltsverzeichnis Inhaltsverzeichnis
Physical Description:	XI, 38 S. graph. Darst. 22 cm
ISBN:	9781443813112 1443813117

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Record in the Search Index

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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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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
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