We present cross and time series analysis of price fluctuations in the US 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
The paper examines the basic intermarket model of the four traditional capital asset classes. The mo...
In this study we compare the time series correlation modeling techniques, and document the effective...
A detrended fluctuation analysis (DFA) is applied to the statistics of Korean treasury bond (KTB) fu...
A detrended fluctuation analysis (DFA) is applied to the statistics of Korean treasury bond (KTB) fu...
The aim of this thesis is to evaluate the effectiveness of technical analytic indicators in the fixe...
Long-term fixed income market securities present a strong positive correlation in daily returns. By ...
There has been tremendous growth in interest rate futures markets since their beginning in 1975, bot...
Using a recently introduced method to quantify the time-varying lead-lag dependencies between pairs ...
Using a recently introduced method to quantify the time-varying lead-lag dependencies between pairs ...
This paper aims to explore specific cross-asset market correlations over the past fifteen- yearperio...
This article focuses on the analysis of financial time series and their correlations. A method is us...
This article focuses on the analysis of financial time series and their correlations. A method is us...
The first two chapters of the thesis are a comparative study of several methods for correlation esti...
This paper investigates the intertemporal interaction between returns on the S&P 500 index and the L...
The price time series of the Italian government bonds (BTP) futures is studied by means of scaling c...
The paper examines the basic intermarket model of the four traditional capital asset classes. The mo...
In this study we compare the time series correlation modeling techniques, and document the effective...
A detrended fluctuation analysis (DFA) is applied to the statistics of Korean treasury bond (KTB) fu...
A detrended fluctuation analysis (DFA) is applied to the statistics of Korean treasury bond (KTB) fu...
The aim of this thesis is to evaluate the effectiveness of technical analytic indicators in the fixe...
Long-term fixed income market securities present a strong positive correlation in daily returns. By ...
There has been tremendous growth in interest rate futures markets since their beginning in 1975, bot...
Using a recently introduced method to quantify the time-varying lead-lag dependencies between pairs ...
Using a recently introduced method to quantify the time-varying lead-lag dependencies between pairs ...
This paper aims to explore specific cross-asset market correlations over the past fifteen- yearperio...
This article focuses on the analysis of financial time series and their correlations. A method is us...
This article focuses on the analysis of financial time series and their correlations. A method is us...
The first two chapters of the thesis are a comparative study of several methods for correlation esti...
This paper investigates the intertemporal interaction between returns on the S&P 500 index and the L...
The price time series of the Italian government bonds (BTP) futures is studied by means of scaling c...
The paper examines the basic intermarket model of the four traditional capital asset classes. The mo...
In this study we compare the time series correlation modeling techniques, and document the effective...
A detrended fluctuation analysis (DFA) is applied to the statistics of Korean treasury bond (KTB) fu...
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