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Alternative Duration Specifications and the Measurement of Basis Risk: Empirical Tests

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  • Gultekin, N Bulent
  • Rogalski, Richard J

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  • Gultekin, N Bulent & Rogalski, Richard J, 1984. "Alternative Duration Specifications and the Measurement of Basis Risk: Empirical Tests," The Journal of Business, University of Chicago Press, vol. 57(2), pages 241-264, April.
  • Handle: RePEc:ucp:jnlbus:v:57:y:1984:i:2:p:241-64
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    File URL: http://dx.doi.org/10.1086/296261
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    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. Kanjilal, Kakali, 2013. "Factors causing movements of yield curve in India," Economic Modelling, Elsevier, vol. 31(C), pages 739-751.

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