Theoretical and Empirical Analysis of Common Factors in a Term Structure Model

Ting Ting Huang (Autor)

Buch | Softcover

89 Seiten

2009 | Unabridged edition
Cambridge Scholars Publishing (Verlag)
978-1-4438-1311-2 (ISBN)

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This 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-specialists to understand, and the mathematical tools required for applications can be intimidating. Although many of the copula models used in finance are theoretical, the nature of financial data suggests the empirical copula is more appropriate for forecasting and accurately describing returns, volatility and interdependence.

Ting Ting Huang is a PhD candidate at University of Pittsburgh in 2009. Her research interests include Financial Economics, Macro Econometrics and International Economics. She is a member of American Economic Association, Midwest Econometrics Society, American Finance Association, Western Finance Association, Financial Management Association and Midwest Finance Association.

Erscheint lt. Verlag	23.10.2009
Verlagsort	Newcastle upon Tyne
Sprache	englisch
Maße	148 x 212 mm
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
Themenwelt	Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
ISBN-10	1-4438-1311-7 / 1443813117
ISBN-13	978-1-4438-1311-2 / 9781443813112
Zustand	Neuware