Long-Term Fixed-Income Market Structure

Luca Grilli

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

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.

Keywords: Fixed income; clustering (search for similar items in EconPapers)
JEL-codes: C10 C49 C53 D49 (search for similar items in EconPapers)
Date: 2004-02
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (1)

Published in Physica A: Statistical Mechanics and its Applications, 332, 1 (feb. 2004), pp.441-447.

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http://dx.doi.org/10.1016/j.physa.2003.10.019

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Journal Article: Long-term fixed income market structure (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ufg:qdsems:lg_physa_2003

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