A new measure of cross-sectional risk and its empirical implications for portfolio risk management
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- Bierwag, Gerald O. & Fooladi, Iraj & Roberts, Gordon S., 1993. "Designing an immunized portfolio: Is M-squared the key?," Journal of Banking & Finance, Elsevier, vol. 17(6), pages 1147-1170, December.
- Prisman, Eliezer Z. & Shores, Marilyn R., 1988. "Duration measures for specific term structure estimations and applications to bond portfolio immunization," Journal of Banking & Finance, Elsevier, vol. 12(3), pages 493-504, September.
- Christophe Pérignon & Christophe Villa, 2006. "Sources of Time Variation in the Covariance Matrix of Interest Rates," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1535-1550, May.
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