arXiv 17 Jun 2024 · Finance — Statistical Finance · publishedMathematical Finance (2025)
arXiv:2406.19412 · PDF · DOI · OpenAlex · Extracted main text
In this article we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no-arbitrage setting. This is, in particular, motivated by the problem of identifying the number of statistically relevant factors in the bond market under minimal conditions. We apply this method in an empirical study which suggests that a high number of factors is needed to describe the term structure evolution and that the term structure of volatility varies over time.
appendix boundary found by none_found · 100% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | D. Schroers (2024) Robust functional data analysis for stochastic evolution equations in infinite dimensions | 1.000 | 22 | 4 | 100% |
| 2 | D. Filipović (2001) Consistency Problems for HJM Interest Rate Models, volume 1760 of Lecture Notes in Mathematics | 1.000 | 8 | 3 | 100% |
| 3 | D. Filipović, M. Pelger, and Y. Ye (2022) Stripping the discount curve - a robust machine learning approach | 1.000 | 5 | 4 | 100% |
| 4 | Fred Espen Benth, Dennis Schroers, and A. E. D. Veraart (2024) A feasible central limit theorem for realised covariation of spdes in the context of functional data self | 0.928 | 4 | 3 | 100% |
| 5 | S. Peszat and J. Zabczyk (2007) Stochastic Partial Differential Equations with Lévy Noise, volume 113 of Encyclopedia of Mathematics and its Applications | 0.928 | 4 | 3 | 100% |
| 6 | R. K. Crump and N. Gospodinov (2022) On the factor structure of bond returns | 0.843 | 3 | 3 | 100% |
| 7 | D. Filipović, S. Tappe, and J. Teichmann (2010) Jump-diffusions in Hilbert spaces: existence, stability and numerics | 0.737 | 3 | 2 | 100% |
| 8 | V. Masarotto, V. M. Panaretos, and Y. Zemel (2019) Procrustes metrics on covariance operators and optimal transportation of gaussian processes | 0.737 | 3 | 2 | 100% |
| 9 | T. Björk, G. Di Masi, Y. Kabanov, and W. Runggaldier (1997) Towards a general theory of bond markets | 0.737 | 3 | 2 | 100% |
| 10 | H. Ren, N. Chen, and C. Zou (2017) Projection-based outlier detection in functional data | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 47 scored citations.