Statistical analysis of fixed income market

DOI10.1016/S0378-4371(02)00590-3zbMath0995.91013WikidataQ60479584 ScholiaQ60479584MaRDI QIDQ1598562

Massimo Bernaschi, Luca Grilli, Davide Vergni

Publication date: 23 May 2002

Published in: Physica A (Search for Journal in Brave)

zbMATH Keywords

time series analysisprice fluctuations

Mathematics Subject Classification ID

Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (4)

Cluster analysis for portfolio optimization ⋮ Dynamical clustering of exchange rates ⋮ Correlation based networks of equity returns sampled at different time horizons ⋮ Wavelet evolutionary network for complex-constrained portfolio rebalancing

Cites Work

• A REVIEW OF TECHNIQUES FOR THE ESTIMATION OF THE TERM STRUCTURE
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