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

Product Description
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.
About the Author
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.