Narrow search
Showing 1 - 10 of 79
Cover Image
Implied interest rate skew, term premiums, and the "conundrum"
Durham, J. Benson - In: The journal of fixed income 17 (2007) 4, pp. 88-99
Persistent link: https://www.econbiz.de/10003729823
Cover Image
Additional analytical approximations of the term structure and distributional assumptions for jump-diffusion processes
Durham, J. Benson - In: The journal of fixed income 15 (2006) 4, pp. 61-73
Persistent link: https://www.econbiz.de/10003339418
Cover Image
What do financial asset prices say about the housing market?
Durham, J. Benson (contributor) - 2006
Persistent link: https://www.econbiz.de/10003407667
Cover Image
What do financial asset prices say about the housing market?
Durham, J. Benson - 2006
Persistent link: https://www.econbiz.de/10003385006
Cover Image
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
Cover Image
Can long-only investors use momentum to beat the US Treasury market?
Durham, J. Benson - In: Financial analysts' journal : FAJ 71 (2015) 5, pp. 57-74
Persistent link: https://www.econbiz.de/10011380328
Cover Image
Which component of treasury yields belongs in equity valuation models? : an application to the S&P 500
Durham, J. Benson - In: The journal of portfolio management : a publication of … 39 (2013) 4, pp. 80-90
Persistent link: https://www.econbiz.de/10009786014
Cover Image
What do sovereign spreads say about expected defaults and devaluations? : an application to the European sovereign debt crisis
Durham, J. Benson - In: The journal of portfolio management : a publication of … 40 (2014) 2, pp. 86-93
Persistent link: https://www.econbiz.de/10010365089
Cover Image
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
Cover Image
Implied interest rate skew, term premiums, and the ʺconundrumʺ
Durham, J. Benson - 2007
Persistent link: https://www.econbiz.de/10003828299