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