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Duration Forty Years Later

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References

1977An equilibrium characterization of the term structure6,104 cited
1939Value and Capital2,893 cited
1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
2017From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’504 cited
1952Review of the Principles of Life-office Valuations380 cited
2017Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies*305 cited
1959Business Cycles and Economic Growth.229 cited
1976Forward rates as predictors of future spot rates229 cited
1979Duration and the Measurement of Basis Risk225 cited

Cited by

1990Default Risk and the Duration of Zero Coupon Bonds150 cited
1999Dynamic Asset Allocation and Fixed Income Management136 cited
1990Chapter 13 The term structure of interest rates123 cited
1987Alternative forms of deposit insurance119 cited
1987The Term Structure of Interest Rates108 cited
1995Deposit insurance and bank interest rate risk: Pricing and regulatory implications89 cited

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1999Stochastic duration and fast coupon bond option pricing in multi-factor models80 cited

1981The Systematic Risk of Corporate Bonds77 cited

2002A GENERAL PROOF OF THE DYBVIG‐INGERSOLL‐ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL61 cited

2005LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications56 cited

2006Financial Intermediaries and Interest Rate Risk: II53 cited

1984Alternative Duration Specifications and the Measurement of Basis Risk: Empirical Tests52 cited

2005Immunization using a stochastic-process independent multi-factor model: The Portuguese experience44 cited

1983Immunization Strategies for Funding Multiple Liabilities44 cited

1994Delta, gamma and bucket hedging of interest rate derivatives42 cited

1978Duration and Security Risk42 cited