, and the duration of carry drawdowns. To explore the determinants of the length of carry losses, a model of carry drawdown … duration is estimated. We find evidence that drawdown duration varies systematically with expected return from the carry trade …

This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility … model of Calvet and Fisher (2004) to the duration setting. Although the MSMD process is exponential ß-mixing as we show in … asymptotic normality for general MSMD specifications. We show that the Whittle estimation is a computationally simple and fast …

This paper uses analysts' forecasts to estimate a share's equity duration, a measure of a company's average cash …-flow maturity. We find that short duration equity is associated with high expected and realized returns, which cannot be attributed … to the shares' systematic risk exposure as implied by the market beta. Instead, we show that equity duration is a priced …

generalized duration process. Stochastic volatility in this model is driven by an observed duration process and a latent … autoregressive process. Parameter estimation in the model is carried out by using a method of simulated moments (MSM) due to its … distribution conditional on the duration process is not Gaussian, even though the duration process itself can marginally serve as a …

Duration is often applied to relate bond price changes to changes in the yield to maturity (or key interest rates). As … first order approximation. In this paper, we show that knowledge of a bond's duration (or key rate durations) allows a …-at-Risk analyses where duration (and convexity) approximations are used as fast alternatives for full revaluation. Our main …

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month … lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level … growth into the future and predict high returns for high-duration stocks following high-sentiment periods, contrary to ex …

because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect … from the discount-rate channel. I propose a novel duration measure, the effective equity duration, to capture the effects … is hump-shaped because expected future cash flow growth increases with the discount rates. The effective equity duration …