Statistical analysis of fixed income market

Massimo Bernaschi, Luca Grilli and Davide Vergni

Quaderni DSEMS from Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia

Abstract: We present cross and time series analysis of price fluctuations in the U.S. Treasury fixed income market. Bonds have been classified according to a suitable metric based on the correlation among them. The classification shows how the correlation among fixed income securities depends strongly on their maturity. We study also the structure of price fluctuations for single time series.

Keywords: Fixed income; clustering; scaling (search for similar items in EconPapers)
JEL-codes: C10 C49 C53 D49 (search for similar items in EconPapers)
Date: 2002-05
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Citations: View citations in EconPapers (6)

Published in Physica A: Statistical Mechanics and its Applications, Pages: 381-390 Volume: 308, Issue: 1-4, May 2002

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http://dx.doi.org/10.1016/S0378-4371(02)00590-3

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Journal Article: Statistical analysis of fixed income market (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:ufg:qdsems:lg_physa_2002

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