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Yield Curve Shifts and the Selection of Immunization Strategies
3 references·4 citing·27 second hop
Yield Curve Shifts and the Selection of Immunization Strategies (1995)Yield Curve Shifts and the Selection of I…Immunizing Default-Free Bond Portfolios with a Duration Vector (1988)Immunizing Default-Free Bond …Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies (1971)Coping with the Risk of Inter…Estimating the spot rate curve using the Nelson–Siegel model (2013)Estimating the spot rate curv…Interest Rate Risk Rewards in Stock Returns of Financial Corporations: Evidence from Germany (2008)Interest Rate Risk Rewards in…Immunization using a stochastic-process independent multi-factor model: The Portuguese experience (2005)Immunization using a stochast…Term structure estimation from on-the-run Treasuries (2002)Term structure estimation fro…Common Factors Affecting Bond Returns (1991)Forecasting the Term Structure of Government Bond Yields (2003)Price determinants for remanufactured electronic products: a case study on eBay UK (2014)Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)The effects of default and call risk on bond duration (2009)Previsões de mortalidade e de esperança de vida mediante combinação Bayesiana de modelos: Uma aplicação à população portuguesa (2020)Forecasting the Retirement Age: A Bayesian Model Ensemble Approach (2021)Review of the Principles of Life-office Valuations (1952)Duration measures for specific term structure estimations and applications to bond portfolio immunization (1988)Optimal portfolio choice under a liability constraint (2000)Yield Curve Modeling and Forecasting (2013)Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies* (2017)From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’ (2017)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The cost of capital, corporation finance and the theory of investment (2008)The Econometrics of Financial Markets (2012)Interest rate risk and the creation of the Monetary Policy Committee: Evidence from banks’ and life insurance companies’ stocks in the UK (2013)Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis: AGARCH-M approach (2016)Impact of changes in the level, slope and curvature of interest rates on U.S. sector returns: an asymmetric nonlinear cointegration approach (2019)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)“Options, Futures, and Other Derivatives” (2016)Explaining the Rate Spread on Corporate Bonds (2001)The U.S. Treasury yield curve: 1961 to the present (2007)A Multivariate Model of the Term Structure (1980)A Risk Minimizing Strategy for Portfolio Immunization (1984)Monetary Policy, Loan Liquidation, and Industrial Conflict: The Federal Reserve and the Open Market Operations of 1932 (1984)
this work references cited by second hop

References

  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1971Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies271 cited
  • 1988Immunizing Default-Free Bond Portfolios with a Duration Vector122 cited

Cited by

  • 2013Estimating the spot rate curve using the Nelson–Siegel model47 cited
  • 2005Immunization using a stochastic-process independent multi-factor model: The Portuguese experience44 cited
  • 2002Term structure estimation from on-the-run Treasuries37 cited
  • 2008Interest Rate Risk Rewards in Stock Returns of Financial Corporations: Evidence from Germany36 cited

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