Alternative Duration Specifications and the Measurement of Basis Risk: Empirical Tests
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- Francis X. Diebold & Lei Ji & Canlin Li, 2006.
"A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration,"
Chapters,in: Long-run Growth and Short-run Stabilization, chapter 9
Edward Elgar Publishing.
- 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.
- Luís Oliveira & João Vidal Nunes & Luís Malcato, 2014. "The performance of deterministic and stochastic interest rate risk measures:," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 13(3), pages 141-165, December.
- W. Brian Barrett & Andrea J. Heuson & Robert W. Kolb, 1986. "The Differential Effects Of Sinking Funds On Bond Risk Premia," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(4), pages 303-312, December.
- Kanjilal, Kakali, 2013. "Factors causing movements of yield curve in India," Economic Modelling, Elsevier, vol. 31(C), pages 739-751.
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