Risk Factor Analysis and Portfolio Immunization in the Corporate Bond Market
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- Bertocchi, Marida & Giacometti, Rosella & Zenios, Stavros A., 2005. "Risk factor analysis and portfolio immunization in the corporate bond market," European Journal of Operational Research, Elsevier, vol. 161(2), pages 348-363, March.
References listed on IDEAS
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- Eliseo Navarro & Juan M. Nave, 1997. "A two-factor duration model for interest rate risk management," Investigaciones Economicas, Fundación SEPI, vol. 21(1), pages 55-74, January.
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- Núñez-Mora, José A. & Martínez Reyes, Carlos A., 2012. "Nonparametric Specification Testing for Continuous Time Models for Interest Rates in Mexico," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(14), pages 7-27, primer se.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ACC-2001-07-23 (Accounting & Auditing)
- NEP-ALL-2001-07-23 (All new papers)
- NEP-FIN-2001-07-23 (Finance)
- NEP-FMK-2001-07-23 (Financial Markets)
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