Un approccio metrico per lo studio dei dati finanziari
AbstractIn this paper I present a time series analysis based on a metrical approach. I use a definition of distance which depends on the sample correlation coefficient among bonds. The dataset consists on daily returns of US treasury bonds. By mean of a Linkage-Algorithm bonds are classified according to the distance which show the cluster structure. It is evident how the cluster structure depends strongly on maturity date, bonds are classified in three different clusters, one of them consists on long term bonds. The analysis is focused on long term bonds, introducing a modified time series, I show how is possible to evidentiate a complex cluster structure even in this class of bonds.
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Bibliographic InfoPaper provided by Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia in its series Quaderni DSEMS with number lg_igr_2004.
Date of creation: Feb 2004
Date of revision:
Publication status: Published in Metodi Matematici per l'Economia e la Finanza (a cura di Lucia Maddalena), Collana Interdipartimentale di Studi Economici, Volume 4, 2005 ( ISBN: 88-495-1012-8), Edizioni Scientifiche Italiane.
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Fixed income; clustering;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- D49 - Microeconomics - - Market Structure and Pricing - - - Other
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