期刊名称：Documents de Travail du Centre d'Economie de la Sorbonne
印刷版ISSN：1955-611X
出版年度：2017
出版社：Centre d'Economie de la Sorbonne
摘要：We use mixture of percentile functions to model credit spread evolution, whichallows to obtain a exible description of credit indices and their components at the sametime. We show regularity results in order to extend mixture percentile to the dynamic case.We characterise the stochastic di erential equation of the ow of cumulative distributionfunction and we link it with the ordered list of the components of the credit index. Themain application is to introduce a functional version of Bollinger bands. The crossing ofbands by the spread is associated with a trading signal. Finally, we show the richness of thesignals produced by functional Bollinger bands compared with standard one with a practicalexample.
