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Author: | Bierwag, G. O. Roberts, G. S. |
Title: | Single-factor duration models: Canadian tests |
Journal: | Journal of Financial Research
1990 : SPRING, VOL. 13:1, p.23-38 |
Index terms: | SECURITIES BONDS GOVERNMENT BONDS |
Language: | eng |
Abstract: | The paper derives a single-factor duration model of bond returns from an underlying stochastic process of the term structure of the interest rates. Using Canadian monthly prices on default- free government bonds, the model performs well from 1963 to 1986, but stationarity cannot be accepted. The models of the present paper encompass a variety of linear bond return models. |
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