haku: @author Bierwag, G. O. / yhteensä: 10
viite: 1 / 10
« edellinen | seuraava »
Tekijä: | Bierwag, G. O. Roberts, G. S. |
Otsikko: | Single-factor duration models: Canadian tests |
Lehti: | Journal of Financial Research
1990 : SPRING, VOL. 13:1, p.23-38 |
Asiasana: | SECURITIES BONDS GOVERNMENT BONDS |
Kieli: | eng |
Tiivistelmä: | 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. |
« edellinen | seuraava »
SCIMA