//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~type_genre:"Arbeitspapier"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: person:"Durham, J. Benson"
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
Yield curve
9
Zinsstruktur
9
Capital income
7
Kapitaleinkommen
7
Theorie
6
Theory
6
USA
6
United States
6
CAPM
5
Geldpolitik
5
Monetary policy
5
Risikoprämie
5
Risk premium
5
Aktienmarkt
4
Stock market
4
Estimation
3
Government securities
3
Schätzung
3
Staatspapier
3
Anlageverhalten
2
Anleihe
2
Behavioural finance
2
Bond
2
Börsenkurs
2
Financial market
2
Finanzmarkt
2
Housing market
2
Public bond
2
Share price
2
Treasury term premium
2
Wohnungsmarkt
2
Öffentliche Anleihe
2
1956-2000
1
1977-2000
1
1978-2002
1
Anti-inflation policy
1
Arbitrage Pricing
1
Arbitrage pricing
1
Bond market
1
Comparison
1
more ...
less ...
Online availability
All
Free
16
Type of publication
All
Book / Working Paper
16
Type of publication (narrower categories)
All
Arbeitspapier
Working Paper
21
Article in journal
18
Aufsatz in Zeitschrift
18
Graue Literatur
14
Non-commercial literature
14
Aufsatz im Buch
1
Book section
1
more ...
less ...
Language
All
English
16
Author
All
Durham, J. Benson
16
Published in...
All
Finance and economics discussion series
10
Staff reports / Federal Reserve Bank of New York
5
International finance discussion papers
1
Source
All
ECONIS (ZBW)
16
Showing
1
-
10
of
16
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Betting against beta (and gamma) using government bonds
Durham, J. Benson
-
2015
Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this evidence...
Persistent link: https://www.econbiz.de/10010467093
Saved in:
2
Arbitrage-free affine models of the forward price of foreign currency
Durham, J. Benson
-
2014
Forward foreign exchange contracts embed not only expected depreciation but also a sizable premium, which complicates inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed-form expressions for both unobservable variables. Model...
Persistent link: https://www.econbiz.de/10010393225
Saved in:
3
Another view on US treasury term premiums
Durham, J. Benson
-
2013
The consensus suggests that subdued nominal U.S. Treasury yields on balance since the onset of the global financial crisis primarily reflect exceptionally low, if not occasionally negative, term premiums as opposed to low anticipated short rates. Depressed term premiums plausibly owe to...
Persistent link: https://www.econbiz.de/10010222888
Saved in:
4
Momentum and the term structure of interest rates
Durham, J. Benson
-
2013
A vast literature reports excess returns to momentum strategies across many financial asset classes. However, no study examines trading rules based on price history along individual government-bond term structures - that is, with respect to duration buckets across the curve - as opposed to...
Persistent link: https://www.econbiz.de/10010222891
Saved in:
5
Arbitrage-free models of stocks and bonds
Durham, J. Benson
-
2013
A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model,...
Persistent link: https://www.econbiz.de/10010222892
Saved in:
6
Implied interest rate skew, term premiums, and the ʺconundrumʺ
Durham, J. Benson
-
2007
Structure,” Journal of Financial Economics, Vol. 63, pp. 415–441.
Durham
,
J
.
Benson
, 2006a, “An Estimate of the Inflation ….
Durham
,
J
.
Benson
, 2006b, “Additional Analytical Approximations of the Term Structure and Distributional Assumptions for …
Persistent link: https://www.econbiz.de/10003828299
Saved in:
7
What do financial asset prices say about the housing market?
Durham, J. Benson
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003407667
Saved in:
8
What do financial asset prices say about the housing market?
Durham, J. Benson
-
2006
Persistent link: https://www.econbiz.de/10003385006
Saved in:
9
An estimate of the inflation risk premium using a three-factor affine term structure model
Durham, J. Benson
-
2006
Persistent link: https://www.econbiz.de/10003393524
Saved in:
10
Jump-diffusion processes and affine term structure models : additional closed-form approximate solutions, distributional assumptions for jumps, and parameter estimates
Durham, J. Benson
-
2005
Persistent link: https://www.econbiz.de/10003234448
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->