Theoretical and empirical analysis of common factors in a term structure model /:
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 fac...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Newcastle upon Tyne :
Cambridge Scholars Pub.,
2009.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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 ... |
| Beschreibung: | 1 online resource (xi, 38 pages) : illustrations |
| Bibliographie: | Includes bibliographical references (pages 37-38). |
| ISBN: | 1443815829 9781443815826 1282414755 9781282414754 9786612414756 6612414758 |
| Zugangseinschränkungen: | Legal Deposit; |
Internformat
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| 100 | 1 | |a Huang, Ting-Ting. | |
| 245 | 1 | 0 | |a Theoretical and empirical analysis of common factors in a term structure model / |c by Ting Ting Huang. |
| 260 | |a Newcastle upon Tyne : |b Cambridge Scholars Pub., |c 2009. | ||
| 300 | |a 1 online resource (xi, 38 pages) : |b illustrations | ||
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| 504 | |a Includes bibliographical references (pages 37-38). | ||
| 505 | 0 | |a 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. | |
| 520 | |a 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 ... | ||
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| 650 | 0 | |a Bonds |x Mathematical models. | |
| 650 | 0 | |a Capital assets pricing model. |0 http://id.loc.gov/authorities/subjects/sh85019932 | |
| 650 | 6 | |a Obligations (Valeurs) |x Modèles mathématiques. | |
| 650 | 6 | |a Modèle d'évaluation des actifs financiers. | |
| 650 | 7 | |a Economics, finance, business & management. |2 bicssc | |
| 650 | 7 | |a Finance. |2 bicssc | |
| 650 | 7 | |a Econometrics. |2 bicssc | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x Bonds. |2 bisacsh | |
| 650 | 7 | |a Bonds |x Mathematical models |2 fast | |
| 650 | 7 | |a Capital assets pricing model |2 fast | |
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| 776 | 0 | 8 | |i Print version: |a Huang, Ting Ting. |t Theoretical and Empirical Analysis of Common Factors in a Term Structure Model. |d Newcastle upon Tyne : Cambridge Scholars Publishing, ©2009 |z 9781443813112 |
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Datensatz im Suchindex
| DE-BY-FWS_katkey | ZDB-4-EBU-ocn847618189 |
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| _version_ | 1816796909328662528 |
| adam_text | |
| any_adam_object | |
| author | Huang, Ting-Ting |
| author_facet | Huang, Ting-Ting |
| author_role | |
| author_sort | Huang, Ting-Ting |
| author_variant | t t h tth |
| building | Verbundindex |
| bvnumber | localFWS |
| callnumber-first | H - Social Science |
| callnumber-label | HG4651 |
| callnumber-raw | HG4651 .H83 2009eb |
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| contents | 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. |
| ctrlnum | (OCoLC)847618189 |
| dewey-full | 332.6323015118 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6323015118 |
| dewey-search | 332.6323015118 |
| dewey-sort | 3332.6323015118 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | ZDB-4-EBU-ocn847618189 |
| illustrated | Illustrated |
| indexdate | 2024-11-26T14:49:10Z |
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| isbn | 1443815829 9781443815826 1282414755 9781282414754 9786612414756 6612414758 |
| language | English |
| oclc_num | 847618189 |
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| publishDateSearch | 2009 |
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| publisher | Cambridge Scholars Pub., |
| record_format | marc |
| spelling | Huang, Ting-Ting. Theoretical and empirical analysis of common factors in a term structure model / by Ting Ting Huang. Newcastle upon Tyne : Cambridge Scholars Pub., 2009. 1 online resource (xi, 38 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier polychrome. rdacc http://rdaregistry.info/termList/RDAColourContent/1003 text file rdaft http://rdaregistry.info/termList/fileType/1002 Includes bibliographical references (pages 37-38). 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 ... Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK). WlAbNL English. Bonds Mathematical models. Capital assets pricing model. http://id.loc.gov/authorities/subjects/sh85019932 Obligations (Valeurs) Modèles mathématiques. Modèle d'évaluation des actifs financiers. Economics, finance, business & management. bicssc Finance. bicssc Econometrics. bicssc BUSINESS & ECONOMICS Investments & Securities Bonds. bisacsh Bonds Mathematical models fast Capital assets pricing model fast has work: Theoretical and empirical analysis of common factors in a term structure model (Text) https://id.oclc.org/worldcat/entity/E39PCYywqw7KcqvdHPpYvcRvFq https://id.oclc.org/worldcat/ontology/hasWork Print version: Huang, Ting Ting. Theoretical and Empirical Analysis of Common Factors in a Term Structure Model. Newcastle upon Tyne : Cambridge Scholars Publishing, ©2009 9781443813112 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=553580 Volltext |
| spellingShingle | Huang, Ting-Ting Theoretical and empirical analysis of common factors in a term structure model / 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. Bonds Mathematical models. Capital assets pricing model. http://id.loc.gov/authorities/subjects/sh85019932 Obligations (Valeurs) Modèles mathématiques. Modèle d'évaluation des actifs financiers. Economics, finance, business & management. bicssc Finance. bicssc Econometrics. bicssc BUSINESS & ECONOMICS Investments & Securities Bonds. bisacsh Bonds Mathematical models fast Capital assets pricing model fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85019932 |
| 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 |
| topic | Bonds Mathematical models. Capital assets pricing model. http://id.loc.gov/authorities/subjects/sh85019932 Obligations (Valeurs) Modèles mathématiques. Modèle d'évaluation des actifs financiers. Economics, finance, business & management. bicssc Finance. bicssc Econometrics. bicssc BUSINESS & ECONOMICS Investments & Securities Bonds. bisacsh Bonds Mathematical models fast Capital assets pricing model fast |
| topic_facet | Bonds Mathematical models. Capital assets pricing model. Obligations (Valeurs) Modèles mathématiques. Modèle d'évaluation des actifs financiers. Economics, finance, business & management. Finance. Econometrics. BUSINESS & ECONOMICS Investments & Securities Bonds. Bonds Mathematical models Capital assets pricing model |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=553580 |
| work_keys_str_mv | AT huangtingting theoreticalandempiricalanalysisofcommonfactorsinatermstructuremodel |