FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W62861864> ?p ?o ?g. }

• W62861864 abstract "This paper studies dynamical and cross-sectional structures of bonds, typically used as riskfreeassets in mathematical finance. After reviewing a mathematical theory on commonfactors, also known as principal components, we compute empirical common factors for 10US government bonds (3month, 6month, 1year, 2year, 3year, 5year, 7year, 10year, 20year,and 30year) from the daily data for the period 1993-2006 (data for earlier period is notcomplete) obtained from the official web site www.treas.gov. We find that the principalcommon factor contains 91% of total variance and the first two common-factors contain 99.4%of total variance. Regarding the first three common factors as stochastic processes, we findthat the simple AR(1) models produce sample paths that look almost indistinguishable (incharacteristic) from the empirical ones, although the AR(1) models do not seem to pass thenormality based Portmanteau statistical test. Slightly more complicated ARMA(1,1) modelspass the test. To see the independence of the first two common factors, we calculate theempirical copula (the joint distribution of transformed random variables by their marginaldistribution functions) of the first two common-factors. Among many commonly used copulas(Gaussian, Frank, Clayton, FGM, Gumbel), the copula that corresponds to independentrandom variables is found to fit the best to our empirical copula. Loading coefficients (that ofthe linear combinations of common factors for various individual bonds) are briefly discussed.We conclude from our empirical analysis that yield-to-maturity curves of US governmentbonds from 1993 to 2006 can be simply modelled by two independent common factors which,in turn, can be modelled by ARMA(1,1) processes." @default.
• W62861864 created "2016-06-24" @default.
• W62861864 creator A5080312168 @default.
• W62861864 date "2009-10-01" @default.
• W62861864 modified "2023-09-23" @default.
• W62861864 title "Theoretical and Empirical Analysis of Common Factors in a Term Structure Model" @default.
• W62861864 cites W1544274373 @default.
• W62861864 cites W1546394546 @default.
• W62861864 cites W1553545751 @default.
• W62861864 cites W173489558 @default.
• W62861864 cites W1906327481 @default.
• W62861864 cites W1958196783 @default.
• W62861864 cites W1963808256 @default.
• W62861864 cites W200076914 @default.
• W62861864 cites W2001244105 @default.
• W62861864 cites W2010997253 @default.
• W62861864 cites W2044140988 @default.
• W62861864 cites W2048580686 @default.
• W62861864 cites W2051323744 @default.
• W62861864 cites W2068629725 @default.
• W62861864 cites W2076057077 @default.
• W62861864 cites W2130359604 @default.
• W62861864 cites W2134752891 @default.
• W62861864 cites W2164777891 @default.
• W62861864 cites W2170444200 @default.
• W62861864 cites W2234302625 @default.
• W62861864 cites W2489540272 @default.
• W62861864 cites W2735576937 @default.
• W62861864 cites W2987957311 @default.
• W62861864 cites W3021444882 @default.
• W62861864 cites W3123321876 @default.
• W62861864 cites W3125050320 @default.
• W62861864 hasPublicationYear "2009" @default.
• W62861864 type Work @default.
• W62861864 sameAs 62861864 @default.
• W62861864 citedByCount "1" @default.
• W62861864 crossrefType "book" @default.
• W62861864 hasAuthorship W62861864A5080312168 @default.
• W62861864 hasConcept C105795698 @default.
• W62861864 hasConcept C121332964 @default.
• W62861864 hasConcept C137610916 @default.
• W62861864 hasConcept C147581598 @default.
• W62861864 hasConcept C149782125 @default.
• W62861864 hasConcept C163716315 @default.
• W62861864 hasConcept C17618745 @default.
• W62861864 hasConcept C33923547 @default.
• W62861864 hasConcept C62520636 @default.
• W62861864 hasConceptScore W62861864C105795698 @default.
• W62861864 hasConceptScore W62861864C121332964 @default.
• W62861864 hasConceptScore W62861864C137610916 @default.
• W62861864 hasConceptScore W62861864C147581598 @default.
• W62861864 hasConceptScore W62861864C149782125 @default.
• W62861864 hasConceptScore W62861864C163716315 @default.
• W62861864 hasConceptScore W62861864C17618745 @default.
• W62861864 hasConceptScore W62861864C33923547 @default.
• W62861864 hasConceptScore W62861864C62520636 @default.
• W62861864 hasLocation W628618641 @default.
• W62861864 hasOpenAccess W62861864 @default.
• W62861864 hasPrimaryLocation W628618641 @default.
• W62861864 hasRelatedWork W1601217764 @default.
• W62861864 hasRelatedWork W1765150116 @default.
• W62861864 hasRelatedWork W1910079227 @default.
• W62861864 hasRelatedWork W2048599184 @default.
• W62861864 hasRelatedWork W2091325827 @default.
• W62861864 hasRelatedWork W2132230744 @default.
• W62861864 hasRelatedWork W2212085006 @default.
• W62861864 hasRelatedWork W2342127681 @default.
• W62861864 hasRelatedWork W2344503830 @default.
• W62861864 hasRelatedWork W238856186 @default.
• W62861864 hasRelatedWork W2464313620 @default.
• W62861864 hasRelatedWork W2491182377 @default.
• W62861864 hasRelatedWork W2501367187 @default.
• W62861864 hasRelatedWork W2610107175 @default.
• W62861864 hasRelatedWork W2921206554 @default.
• W62861864 hasRelatedWork W3090396237 @default.
• W62861864 hasRelatedWork W31186351 @default.
• W62861864 hasRelatedWork W3177320569 @default.
• W62861864 hasRelatedWork W3177583278 @default.
• W62861864 hasRelatedWork W82394156 @default.
• W62861864 isParatext "false" @default.
• W62861864 isRetracted "false" @default.
• W62861864 magId "62861864" @default.
• W62861864 workType "book" @default.