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...

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Huang, Ting-Ting
Format: Electronic eBook
Language:Inglés
Published: Newcastle upon Tyne : Cambridge Scholars Pub., 2009.
Subjects:
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
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