haku: @indexterm TIME SPAN ANALYSIS / yhteensä: 23
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| Tekijä: | Bierwag, G. O. |
| Otsikko: | Bond returns, discrete stochastic processes, and duration. |
| Lehti: | Journal of Financial Research
1987 : FALL, VOL. 10:3, p. 191-209 |
| Asiasana: | BONDS RETURN ON INVESTMENT STOCHASTIC PROCESSES TIME SPAN ANALYSIS |
| Kieli: | eng |
| Tiivistelmä: | A study showing that a particular duration measure can correspond to different stochastic processes that generate fluctuations in the term structure of interest rates, a one-to-one correspondence does not exist between the duration measure and an underlying stochastic process, the durations derived from disequilibrium processes, and that multi-factor models of bond returns can also correspond to multi-duration models of bond returns. |
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