Title of article
Long-term fixed income market structure
Author/Authors
Luca Grilli، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2004
Pages
7
From page
441
To page
447
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.
Journal title
Physica A Statistical Mechanics and its Applications
Serial Year
2004
Journal title
Physica A Statistical Mechanics and its Applications
Record number
869036
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