Alternative models for hedging yield curve risk: An empirical comparison
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Chambers, Donald R. & Carleton, Willard T. & McEnally, Richard W., 1988. "Immunizing Default-Free Bond Portfolios with a Duration Vector," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(01), pages 89-104, March.
- Grieves, Robin & Marcus, Alan J. & Woodhams, Adrian, 2010. "Delivery options and convexity in Treasury bond and note futures," Review of Financial Economics, Elsevier, vol. 19(1), pages 1-7, January.
- Robert C. Kuberek & Norman G. Pefley, 1983. "Hedging corporate debt with U.S. treasury bond futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 3(4), pages 345-353, December.
- Carcano, Nicola & Foresi, Silverio, 1997. "Hedging against interest rate risk: Reconsidering volatility-adjusted immunization," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 127-141, February.
- Dan Armeanu & Florentina-Olivia Balu & Carmen Obreja, 2008. "Interest Rate Risk Management using Duration Gap Methodology," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 1(1(518)), pages 3-10, January.
- Fleming, Jeff & Whaley, Robert E, 1994. " The Value of Wildcard Options," Journal of Finance, American Finance Association, vol. 49(1), pages 215-236, March.
- Fisher, Lawrence & Weil, Roman L, 1971. "Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies," The Journal of Business, University of Chicago Press, vol. 44(4), pages 408-431, October.
- Nawalkha, Sanjay K. & Soto, Gloria M. & Zhang, Jun, 2003. "Generalized M-vector models for hedging interest rate risk," Journal of Banking & Finance, Elsevier, vol. 27(8), pages 1581-1604, August.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Bessler, Wolfgang & Wolff, Dominik, 2014. "Hedging European government bond portfolios during the recent sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 379-399.
- Laurini, Márcio Poletti & Ohashi, Alberto, 2015.
"A noisy principal component analysis for forward rate curves,"
European Journal of Operational Research,
Elsevier, vol. 246(1), pages 140-153.
- Marcio Laurini & Alberto Ohashi, 2014. "A Noisy Principal Component Analysis for Forward Rate Curves," Papers 1408.6279, arXiv.org.
More about this item
KeywordsYield curve risk Interest rate risk Immunization Hedging;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:35:y:2011:i:11:p:2991-3000. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jbf .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.