Matteo, T. Di; Aste, T.; Mantegna, R. N. - arXiv.org - 2004
An empirical analysis of interest rates in money and capital markets is performed. We investigate a set of 34 different weekly interest rate time series during a time period of 16 years between 1982 and 1997. Our study is focused on the collective behavior of the stochastic fluctuations of these...