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Yield Curve Shifts and the Selection of Immunization Strategies · Study

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ArticleYield Curve Shifts and the Selection of Immunization Strategies

W. Brian Barrett1995

Article1995

Yield Curve Shifts and the Selection of Immunization Strategies

W. Brian Barrett · Thomas F. Gosnell · Andrea Jane Heuson

50 citations·0/0 files stored·The Journal of Fixed Income

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Stochastic processes and financial applications Financial Markets and Investment Strategies Credit Risk and Financial Regulations

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References

1987Parsimonious Modeling of Yield Curves 1971Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies 1988Immunizing Default-Free Bond Portfolios with a Duration Vector

Cited by

2013Estimating the spot rate curve using the Nelson–Siegel model 2005Immunization using a stochastic-process independent multi-factor model: The Portuguese experience 2002Term structure estimation from on-the-run Treasuries 2008Interest Rate Risk Rewards in Stock Returns of Financial Corporations: Evidence from Germany

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Details

Year1995

Typearticle

Published1995-09-30

VenueThe Journal of Fixed Income

ISSN-L1059-8596

Languageen

Citations50

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.3905/jfi.1995.408146

openalex_workW1984045192

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