3 citations · 5 across the 2 of their papers we have counts for
2 papers
cond-mat2000★ 3 cited
A critical review of techniques for Term Structure analysis
Livio Marangio, Alessandro Ramponi, Massimo Bernaschi
Fixed income markets share many features with the equity markets. However there are significant differences as well and many attempts have been done in the past to develop specific…
cond-mat.stat-mech2000★ 2 cited
Statistical characterization of the fixed income market efficiency
M. Bernaschi, L. Grilli, L. Marangio +2
We present cross and time series analysis of price fluctuations in the U.S. Treasury fixed income market. By means of techniques borrowed from statistical physics we show that the…