This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Duration and the Measurement of Basis Risk Author info | Abstract | Publisher info | Download info | Related research | Statistics Cox, John C
Ingersoll, Jonathan E, Jr
Ross, Stephen A
No abstract is available for
this item.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Article provided by University of Chicago Press in its journal Journal of Business .
Volume (Year): 52 (1979)
Issue (Month): 1 (January)
Pages: 51-61
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Handle: RePEc:ucp:jnlbus:v:52:y:1979:i:1:p:51-61Contact details of provider: Postal: The University of Chicago Press, Journals Division, P.O. Box 37005 Chicago, IL 60637 Web page: http://www.journals.uchicago.edu/JB/home.html
Order Information: Web: http://www.journals.uchicago.edu/JB/home.html
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Keywords: Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Isabelle Bajeux-Besnainou & James V. Jordan & Roland Portait, 2001.
"An Asset Allocation Puzzle: Comment ,"
American Economic Review ,
American Economic Association, vol. 91(4), pages 1170-1179, September.
[Downloadable!] (restricted)
Richard Roll, 1987.
"Managing Risk in Thrift Institutions: Beyond the Duration Cap ,"
University of California at Los Angeles, Anderson Graduate School of Management
1192, Anderson Graduate School of Management, UCLA.
[Downloadable!]
Groh, Alexander P. & Gottschalg, Oliver, 2009.
"The opportunity cost of capital of US buyouts ,"
IESE Research Papers
D/780, IESE Business School.
[Downloadable!]
Francis X. Diebold & Lei Ji & Canlin Li, 2006.
"A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration ,"
PIER Working Paper Archive
06-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
[Downloadable!]
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.
[Downloadable!]
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.
[Downloadable!]
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.
[Downloadable!]
James Kau & Donald Keenan, 1999.
"Catastrophic Default and Credit Risk for Lending Institutions ,"
Journal of Financial Services Research ,
Springer, vol. 15(2), pages 87-102, March.
[Downloadable!] (restricted)
Oh Kwon, 2007.
"Duration, factor sensitivities, and interest rate Greeks ,"
Annals of Finance ,
Springer, vol. 3(4), pages 471-486, October.
[Downloadable!] (restricted)
Francis X. Diebold & Canlin Li, 2002.
"Forecasting the Term Structure of Government Bond Yields ,"
Center for Financial Institutions Working Papers
02-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
[Downloadable!]
Other versions:
Francis X. Diebold & Canlin Li, 2003.
"Forecasting the Term Structure of Government Bond Yields ,"
NBER Working Papers
10048, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Francis X. Diebold & Canlin Li, 2004.
"Forecasting the Term Structure of Government Bond Yields ,"
CFS Working Paper Series
2004/09, Center for Financial Studies.
[Downloadable!] Diebold, Francis X. & Li, Canlin, 2006.
"Forecasting the term structure of government bond yields ,"
Journal of Econometrics ,
Elsevier, vol. 130(2), pages 337-364, February.
[Downloadable!] (restricted) Andrew H. Chen & Mohammed M. Chaudhury, 1996.
"The Market Value and Dynamic Interest Rate Risk of Swaps ,"
Center for Financial Institutions Working Papers
96-44, Wharton School Center for Financial Institutions, University of Pennsylvania.
[Downloadable!]
Zvi Bodie & Alan J. Marcus & Robert C. Merton, 1985.
"Defined Benefit versus Defined Contribution Pension Plans: What are theReal Tradeoffs? ,"
NBER Working Papers
1719, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Nicholas Sharp & David Newton & Peter Duck, 2008.
"An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options ,"
The Journal of Real Estate Finance and Economics ,
Springer, vol. 36(3), pages 307-342, April.
[Downloadable!] (restricted)
James M. O'Brien, 2000.
"Estimating the value and interest rate risk of interest-bearing transactions deposits ,"
Finance and Economics Discussion Series
2000-53, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Access and
download statistics Did you know? Over 1000 institutions contribute their bibliographic data directly to this service.
This page was last updated on 2009-12-2.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .