Oliveira, Luís; Nunes, João Vidal; Malcato, Luís - In: Portuguese Economic Journal 13 (2014) 3, pp. 141-165
The efficiency of traditional and stochastic interest rate risk measures is compared under one-, two-, and three-factor no-arbitrage Gauss-Markov term structure models, and for different immunization periods. The empirical analysis, run on the German Treasury bond market from January 2000 to...