Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10481572 | Physica A: Statistical Mechanics and its Applications | 2011 | 18 Pages |
Abstract
⺠We found the bond market is not the global market but the domestic-oriented market. ⺠Using copula, tail dependence is observed in the US-UK first factor pair. ⺠Factor dynamics is modeled by a stochastic volatility model.⺠This model has the properties of mean reverting and volatility clustering. ⺠The proposed simulation method combines dependence structures and factor dynamics.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Sangwook Lee, Min Jae Kim, Soo Yong Kim,