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.
Long-Term Fixed-Income Market Structure
GRILLI, LUCA
2004-01-01
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.File in questo prodotto:
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