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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
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Theory of long-term interest rates
Rey, Sebastián A. - In: International journal of financial engineering 3 (2016) 3, pp. 1-18
Persistent link: https://www.econbiz.de/10011587728
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Does Shariah compliance make interest rate sensitivity of Islamic equities lower? : an industry level analysis under different market states
Umar, Zaghum; Shahzad, Syed Jawad Hussain; Ferrer, Román; … - In: Applied economics 50 (2018) 42, pp. 4500-4521
Persistent link: https://www.econbiz.de/10012061195
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Performance of maturity transformation strategies
Schmidhammer, Christoph; Hille, Vanessa; Wiedemann, Arnd - 2020
This paper analyses theperformance ofmaturity transformation strategiesduring a period of high and low interest rates. Based on German government bond yieldsfrom September 1972 to May 2019,we construct a rolling window of bond ladders where long-term assets are financed by short-term...
Persistent link: https://www.econbiz.de/10012313784
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Properties and limitations of duration as a measure of time structure of bond and interest rate risk
Ajlouni, Moh'd M. - In: International journal of economic perspectives : IJEP 6 (2012) 4, pp. 46-56
Persistent link: https://www.econbiz.de/10011587208
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Mechanisms of protection from interest rate risk with reference to the life insurance market in Montenegro
Novović Burić, Milijana; Kašćelan, Vladimir; … - In: Journal of central banking theory and practice 7 (2018) 1, pp. 17-42
Persistent link: https://www.econbiz.de/10011895370
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An empirical analysis of nonstationarity in a panel of interest rates with factors
Moon, Hyungsik Roger; Perron, Benoit - In: Journal of applied econometrics 22 (2007) 2, pp. 383-400
Persistent link: https://www.econbiz.de/10003455460
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A new immunization inequality for random streams of assets, liabilities and interest rates
Gajek, Lesław; Krajewska, Elżbieta - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 624-631
Persistent link: https://www.econbiz.de/10010227919
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On the efficient utilisation of duration
Dierkes, Thomas; Ortmann, Karl Michael - In: Insurance / Mathematics & economics 60 (2015), pp. 29-37
Persistent link: https://www.econbiz.de/10010484840
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Are European sovereign bonds fairly priced? : the role of modelling uncertainty
Haan, Leo de; Hessel, Jeroen; End, Jan-Willem van den - In: Journal of international money and finance 47 (2014), pp. 239-267
Persistent link: https://www.econbiz.de/10010464019