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Yield curve changes effect on Euro area bond indexes : a partial durations approach

Fonseca, José Soares da - In: International journal of monetary economics and finance 7 (2014) 1, pp. 28-39

Persistent link: https://www.econbiz.de/10010531296

Stochastic durations, the convexity effect, and the impact of interest rate changes

Fonseca, José Soares da - In: The European journal of finance 20 (2014) 10/12, pp. 994-1007

Persistent link: https://www.econbiz.de/10010464881

A generalized algorithm for duration and convexity of option embedded bonds

Homaifar, Ghassem; Michello, Frank A. - In: Applied economics letters 26 (2019) 10, pp. 835-842

Persistent link: https://www.econbiz.de/10012204397

A generalized algorithm for duration and convexity of option-embedded bonds : a correction

Homaifar, Ghassem; Michello, Frank A. - In: Applied economics letters 27 (2020) 6, pp. 459-460

Persistent link: https://www.econbiz.de/10012205685

Does Macaulay duration provide the most cost-effective immunization method : a theoretical approach

Zaremba, Leszek - In: Foundations of Management : the journal of Warsaw … 9 (2017) 1, pp. 99-110

. For this purpose, we introduce the notions of dedicated duration and dedicated convexity. For each class of shifts, we … show how to choose from a bond market under consideration a portfolio with maximal dedicated convexity among all immunizing …

Persistent link: https://www.econbiz.de/10011856311

Interest rate risk of bond prices on Macedonian Stock Exchange - empirical test of the duration, modified duration and convexity and bonds valuation

Ivanovski, Zoran; Stojanovski, Toni Draganov; … - In: Economic research 26 (2013) 3, pp. 47-62

Persistent link: https://www.econbiz.de/10010196415

How well does duration measure interest rate risk and does the convexity adjustment matter?

Barber, Joel R. - In: Quarterly journal of finance & accounting : QJFA 59 (2021) 1/2, pp. 1-28

Persistent link: https://www.econbiz.de/10012744707

An excel-based method to enhance the study of "Duration and Convexity" in financial management education

Mangiero, George A.; Qayyum, Arif; Cante, Charles J. - In: Journal of education for business 95 (2020) 6, pp. 402-407

Persistent link: https://www.econbiz.de/10012260206

Delta-Normal value at risk using exponential duration with convexity for measuring government bond risk

Maruddani, Di Asih I; Abdurakhman Abdurakhman - In: DLSU business & economics review 31 (2021) 1, pp. 72-80

Persistent link: https://www.econbiz.de/10013472258