LEADER 02463nam 2200565Ia 450 001 9910816872003321 005 20240313155723.0 010 $a1-282-41475-5 010 $a9786612414756 010 $a1-4438-1582-9 035 $a(CKB)3390000000009013 035 $a(EBL)1133164 035 $a(OCoLC)830167660 035 $a(SSID)ssj0000443251 035 $a(PQKBManifestationID)11301962 035 $a(PQKBTitleCode)TC0000443251 035 $a(PQKBWorkID)10455135 035 $a(PQKB)11640748 035 $a(MiAaPQ)EBC1133164 035 $a(Au-PeEL)EBL1133164 035 $a(CaPaEBR)ebr10677015 035 $a(CaONFJC)MIL241475 035 $a(EXLCZ)993390000000009013 100 $a20100514d2009 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aTheoretical and empirical analysis of common factors in a term structure model /$fby Ting Ting Huang 205 $a1st ed. 210 $aNewcastle upon Tyne $cCambridge Scholars Pub.$d2009 215 $a1 online resource (50 p.) 300 $aIncludes bibliographical references (p. 37-38). 311 $a1-4438-1311-7 327 $aINTRODUCTORY NOTE; CONTENTS; LIST OF TABLES; LIST OF FIGURES; 1. INTRODUCTION; 2. COMMON FACTORS OF RANDOM VARIABLES; 3. COMMON FACTORS OF STOCHASTIC PROCESSES; 4. MODELING THE US TREASURY BONDS; 5. THE INDEPENDENCY OF THE FIRST TWO COMMON FACTORS; 6. CONCLUSION; REFERENCES 330 $aThis paper is the first that completely studies dynamical and cross-sectional structures of bonds, typically used as risk-free assets in mathematical finance, on the independence of the common factors with the empirical copula. During the last decade, financial models based empirically on common factors have acquired increasing popularity in risk management and asset pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for non-specialis... 606 $aBonds$xMathematical models 606 $aCapital assets pricing model 615 0$aBonds$xMathematical models. 615 0$aCapital assets pricing model. 676 $a332.6323015118 700 $aHuang$b Ting-Ting$01673330 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910816872003321 996 $aTheoretical and empirical analysis of common factors in a term structure model$94037356 997 $aUNINA