MARC details
| 000 -LEADER |
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| fixed length control field |
01313nab a2200193 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
160131b xxu||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Righi, Marcelo Brutti |
| 245 ## - TITLE STATEMENT |
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| Title |
Pair copula constructions to determine the dependence structure of treasury bond yields |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Place of publication, distribution, etc |
|
| Name of publisher, distributor, etc |
Indian Institute of Management Bangalore |
| Date of publication, distribution, etc |
|
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
216-227p. |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc |
We estimated the dependence structure of US Treasury bonds through a pair copula<br/>construction. As a result, we verified that the variability of the yields decreases with a longer<br/>time of maturity of the bond. The yields presented strong dependence with past values, strongly<br/>positive bivariate associations between the daily variations, and prevalence of the Student’s t<br/>copula in the relationships between the bonds. Furthermore, in tail associations, we identified<br/>relevant values in most of the relationships, which highlights the importance of risk management<br/>in the context of bonds diversification. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Treasury bonds |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Pair copula construction |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Dependence structure |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Schlender, Sergio Guilherme |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Ceretta, Paulo Sergio |
| 773 0# - HOST ITEM ENTRY |
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| Host Biblionumber |
39810 |
| Place, publisher, and date of publication |
Banglore Indian Institute of Management |
| Other item identifier |
S83497 |
| Title |
IIMB Management Review. 27(4) December 2015 |
| International Standard Serial Number |
0979-3896 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Item type |
Articles |
