Theoretical and empirical analysis of common factors in a term structure model
Auteur :
Huang, Ting Ting
Éditeur :
Huang, Ting Ting
ISBN :
9781443813112
Date de publication :
1 oct. 2009
Dimensions :
21,2 x 14,8 x 0,5 cm
Poids :
77 g
Format :
With dust jacket
Langue :
Anglais
Pays d'origine :
Grande Bretagne
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.