Statistical analysis of fixed income market

Physica A: Statistical Mechanics and its Applications

Volumn 308, Issue 1-4, 2002, Pages 381-390

  Bernaschi, Massimo ^a   Grilli, Luca ^a   Vergni, Davide ^b  

^a CNR   (Italy)

^b SAPIENZA UNIVERSITY OF ROME   (Italy)

Author keywords

Clustering; Fixed income; Scaling

Indexed keywords

APPROXIMATION THEORY; CORRELATION METHODS; ECONOMICS; INVESTMENTS;

FIXED INCOME MARKET;

TIME SERIES ANALYSIS;

EID: 0037093181     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)00590-3     Document Type: Article

References (13)

1. A critical review of techniques for term structure analysis
2. Hierarchical structure in financial markets
3. Théorie de la spéculation
4. The variation of certain speculative prices
5. Scaling behavior in the dynamics of an economics index
6. Apparent multifractility in financial time series