Theoretical and Empirical Analysis of Common Factors in a Term Structure Model:
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Newcastle upon Tyne
Cambridge Scholars Pub.
2009
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| Subjects: | |
| Online Access: | Volltext |
| Item Description: | Introductory note; contents; list of tables; list of figures; 1. introduction; 2. common factors of random variables; 3. common factors of stochastic processes; 4. modelling the us treasury bonds; 5. the independency of the first two common factors; 6. conclusion; references This paper is the first that completely studies dynamical and cross-sectional structures of bonds, typically used as risk-free assets in mathematical finance, on the independence of the common factors with the empirical copula. During the last decade, financial models based empirically on common factors have acquired increasing popularity in risk management and asset pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for non-specialis .. |
| Physical Description: | 1 Online-Ressource (50 pages) |
| ISBN: | 9781443815826 1443815829 |
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| id | DE-604.BV042963695 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:13:53Z |
| institution | BVB |
| isbn | 9781443815826 1443815829 |
| language | English |
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| spelling | Huang, Ting Ting Verfasser aut Theoretical and Empirical Analysis of Common Factors in a Term Structure Model Newcastle upon Tyne Cambridge Scholars Pub. 2009 1 Online-Ressource (50 pages) txt rdacontent c rdamedia cr rdacarrier Introductory note; contents; list of tables; list of figures; 1. introduction; 2. common factors of random variables; 3. common factors of stochastic processes; 4. modelling the us treasury bonds; 5. the independency of the first two common factors; 6. conclusion; references This paper is the first that completely studies dynamical and cross-sectional structures of bonds, typically used as risk-free assets in mathematical finance, on the independence of the common factors with the empirical copula. During the last decade, financial models based empirically on common factors have acquired increasing popularity in risk management and asset pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for non-specialis .. BUSINESS & ECONOMICS / Investments & Securities / Bonds bisacsh Bonds / Mathematical models fast Capital assets pricing model fast Mathematisches Modell Wirtschaft Bonds Mathematical models Capital assets pricing model http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=553580 Aggregator Volltext |
| spellingShingle | Huang, Ting Ting Theoretical and Empirical Analysis of Common Factors in a Term Structure Model BUSINESS & ECONOMICS / Investments & Securities / Bonds bisacsh Bonds / Mathematical models fast Capital assets pricing model fast Mathematisches Modell Wirtschaft Bonds Mathematical models Capital assets pricing 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 |
| title_fullStr | Theoretical and Empirical Analysis of Common Factors in a Term Structure Model |
| title_full_unstemmed | Theoretical and Empirical Analysis of Common Factors in a Term Structure Model |
| 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 |
| topic | BUSINESS & ECONOMICS / Investments & Securities / Bonds bisacsh Bonds / Mathematical models fast Capital assets pricing model fast Mathematisches Modell Wirtschaft Bonds Mathematical models Capital assets pricing model |
| topic_facet | BUSINESS & ECONOMICS / Investments & Securities / Bonds Bonds / Mathematical models Capital assets pricing model Mathematisches Modell Wirtschaft Bonds Mathematical models |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=553580 |
| work_keys_str_mv | AT huangtingting theoreticalandempiricalanalysisofcommonfactorsinatermstructuremodel |