Bernaschi, Massimo; Grilli, Luca; Vergni, Davide - Dipartimento di Scienze Economiche, Matematiche e … - 2002
We present cross and time series analysis of price fluctuations in the U.S. Treasury fixed income market. Bonds have been classified according to a suitable metric based on the correlation among them. The classification shows how the correlation among fixed income securities depends strongly on...