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Hedging interest rate risk using a structural model of credit risk

Huang, Jing-Zhi; Shi, Zhan - 2016

corporate bond returns to the entire yield curve, thereby providing a solution to the puzzle. In addition, hedging effectiveness … improvement in hedging effectiveness …

Persistent link: https://www.econbiz.de/10011810957

Credit spread implied by inflation-indexed convertible bonds

Landskroner, Yoram; Raviv, Alon - In: Banking review 8 (2003), pp. 15-31

Persistent link: https://www.econbiz.de/10001961607

Reading the message from the UK indexed bond market : real interest rates, expected inflation and the risk premium

Levin, Eric J. - In: The Manchester School of Economic and Social Studies 61 (1993), pp. 13-34

Persistent link: https://www.econbiz.de/10001144424

Markets for inflation-indexed bonds as mechanisms for efficient monetary policy

Ewald, Christian-Oliver; Geissler, Johannes - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 869-889

Persistent link: https://www.econbiz.de/10011350504

Is a pure TIPS strategy truly risk free?

Haensly, Paul J. - In: Review of financial economics : RFE 28 (2016), pp. 1-20

Persistent link: https://www.econbiz.de/10011579659

Long-term investment with stochastic interest and inflation rates : the need for inflation-indexed bonds

Mkaouar, Farid; Prigent, Jean-Luc; Abid, Ilyes - In: Economic modelling 67 (2017), pp. 228-247

Persistent link: https://www.econbiz.de/10011813816

Pricing TIPS and treasuries with linear regressions

Abrahams, Michael; Adrian, Tobias; Crump, Richard K.; … - 2012

We present an affine term structure model for the joint pricing of Treasury Inflation-Protected Securities (TIPS) and Treasury yield curves that adjusts for TIPS' relative illiquidity. Our estimation using linear regressions is computationally very fast and can accommodate unspanned factors. The...

Persistent link: https://www.econbiz.de/10009624301

Estimating inflation expectations with a limited number of inflation-indexed bonds

Finlay, Richard; Wende, Sebastian - In: International journal of central banking : IJCB 8 (2012) 2, pp. 111-142

Persistent link: https://www.econbiz.de/10009634295

Affine model of inflation-indexed derivatives and inflation risk premium

Ho, Hsiao-wei; Huang, Henry H.; Yildirim, Yildiray - In: European journal of operational research : EJOR 235 (2014) 1, pp. 159-169

Persistent link: https://www.econbiz.de/10010361364

Sunspots and inflation-indexed bonds

Kang, Minwook - 2014

Persistent link: https://www.econbiz.de/10010370350

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