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Long-Term Fixed-Income Market Structure

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Author Info
Luca Grilli ()

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Abstract

Long Term Fixed Income Market securities present a strong positive correlation in daily returns. By using a metrical approach and considering "modified" time series, I show how it is possible to show a more complex structure which depends strictly on the maturity date.

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File URL: http://dx.doi.org/10.1016/j.physa.2003.10.019
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Publisher Info
Paper provided by Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia in its series Quaderni DSEMS with number lg_physa_2003.

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Date of creation: Feb 2004
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Publication status: Published in Physica A: Statistical Mechanics and its Applications, 332, 1 (feb. 2004), pp.441-447.
Handle: RePEc:ufg:qdsems:lg_physa_2003

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Postal: Largo Papa Giovanni Paolo II, 1 -71100- Foggia (I)
Phone: +390881753730
Fax: +390881775616
Web page: http://www.dsems.unifg.it
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Related research
Keywords: Fixed income; clustering;

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Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
D49 - Microeconomics - - Market Structure and Pricing - - - Other

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  1. Luca Grilli & Angelo Sfrecola, 2005. "Neural Networks to Predict Financial Time Series in a Minority Game Context," Quaderni DSEMS 14-2005, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia. [Downloadable!]
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This page was last updated on 2009-12-9.

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