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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- 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.
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- Kroon, E.P., 1991. "Bond market efficiency : some Dutch evidence," Serie Research Memoranda 0045, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- 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.
- 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.
- Ahmad Telfah, . "Strategic Asset Allocation in Stochastic Environment And Incomplete Markets: Evidence on Horizon And Hedging Effects," API-Working Paper Series 0603, Arab Planning Institute - Kuwait, Information Center.
- 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.
- 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.
- Kraft, Holger & Munk, Claus, 2007. "Bond durations: Corporates vs. Treasuries," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3720-3741, December.
- Nawalkha, Sanjay K. & Chambers, Donald R., 1995. "A note on currency option pricing," International Review of Financial Analysis, Elsevier, vol. 4(1), pages 81-84.
- Fernando Rubio, 2004. "Eficiencia Simple Del Mercado De Renta Fija En Chile," Finance 0405009, EconWPA.
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