Lee, Hei Wai; Xie, Yan Alice; Yau, Jot - In: Applied Financial Economics 24 (2014) 22, pp. 1465-1477
We examined the effects of sovereign risk on bond duration in European and Latin American sovereign bond markets over the period 1996 to 2011. We compared the sovereign risk-adjusted duration with the Macaulay duration for both investment- and speculative-grade US dollar-denominated sovereign...