Duration Forty Years Later
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 13 (1978)
Issue (Month): 04 (November)
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- Jin-Chuan, Duan & Moreau, Arthur F. & Sealey, C. W., 1995. "Deposit insurance and bank interest rate risk: Pricing and regulatory implications," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1091-1108, September.
- Kraft, Holger & Munk, Claus, 2007. "Bond durations: Corporates vs. Treasuries," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3720-3741, December.
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- Nawalkha, Sanjay K., 1995. "The duration vector: A continuous-time extension to default-free interest rate contingent claims," Journal of Banking & Finance, Elsevier, vol. 19(8), pages 1359-1366, November.
- Balbas, Alejandro & Ibanez, Alfredo, 1998. "When can you immunize a bond portfolio?," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1571-1595, December.
- Olivier de La Grandville, 2001. "Immunization of Bond Portfolios: Some New Results," Economics Discussion / Working Papers 01-26, The University of Western Australia, Department of Economics.
- Fernando Rubio, 2004. "Eficiencia Simple Del Mercado De Renta Fija En Chile," Finance 0405009, EconWPA.
- Armerin, Frederik & Björk, Tomas & Jensen, Bjarne Astrup, 2005. "Term Structure Models with Parallel and Proportional Shifts," Working Papers 2005-5, Copenhagen Business School, Department of Finance.
- Ahmad Telfah, . "" Do Financial Planners Take Financial Crashes In Their Advice: Dynamic Asset Allocation Under Thick Tails And Fast Volatility Updating," API-Working Paper Series 0604, Arab Planning Institute - Kuwait, Information Center.
- J. Huston McCulloch, 2001. "The Inflation Premium implicit in the US Real and Nominal," Computing in Economics and Finance 2001 210, Society for Computational Economics.
- repec:nbr:nberwo:2341 is not listed on IDEAS
- Kroon, E.P., 1991. "Bond market efficiency : some Dutch evidence," Serie Research Memoranda 0045, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Bharati, Rakesh & Nanisetty, Prasad & So, Jacky, 2006. "Dynamic gap transformations: Are banks asset - transformers or brokers? or both?," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(1), pages 36-52, February.
- Munk, Claus & Sørensen, Carsten & Vinther, Tina Nygaard, 2001. "Portfolio Choice under Inflation: Are Popular Recommendations Consistent with Rational Behavior?," Working Papers 2001-6, Copenhagen Business School, Department of Finance.
- J. Huston McCulloch & Levin A. Kochen, 1998. "The Inflation Premium Implicit in the US Real and Nominal Term Structures of Interest Rates," Working Papers 98-12, Ohio State University, Department of Economics.
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