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Best-estimates in bond markets with reinvestment risk

MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276

The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...

Persistent link: https://www.econbiz.de/10011300314

The global cross-section of corporate bonds : market, maturity and liquidity

Bekaert, Geert; De Santis, Roberto A.; Mondino, Tomas - 2024

Persistent link: https://www.econbiz.de/10015075698

Oil, gold, US dollar and stock market interdependencies : a global analytical insight

Arfaoui, Mongi; Ben Rejeb, Aymen - In: European journal of management and business economics : … 26 (2017) 3, pp. 278-293

Persistent link: https://www.econbiz.de/10011823435

The economic value of stock and interest rate predictability in the UK

Hall, Stephen G.; Sirichand, Kavita - 2010

In this paper, we evaluate the forecast performance of a range of atheoretic and theory informed models of bond and stock returns. The decision making environment is fully described for an investor who would like to optimally allocate his portfolio between bonds and stocks, over an investment...

Persistent link: https://www.econbiz.de/10003954315

From Black Wednesday to Brexit : macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom

Gottschalk, Sylvia - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 2843-2873

Persistent link: https://www.econbiz.de/10014327598

The relation of the US dollar with oil prices, gold prices, and the US stock market

Azar, Samih Antoine - In: Research in world economy 6 (2015) 1, pp. 159-171

Persistent link: https://www.econbiz.de/10011415600

Pricing Inflation Linked Bonds and Hedging Bond Portfolios : A Comparative Analysis Applied to French OAT Indexed Bonds

da Fonseca, José S. - 2016

comprising indexed and nominal bonds are tested. The hedging ratios used in these strategies are based on an arbitrage-free model … of the term structure and on a traditional duration measure. Hedging methods are compared according to three perspectives …: impact of the extraction method, hedging methodology, and holding period. It seems that the extraction procedure and hedging …

Persistent link: https://www.econbiz.de/10012990025

Essays in corporate bonds and futures markets

Taksler, Glen Barry - 2002

Persistent link: https://www.econbiz.de/10001717890

Maxing out : stocks as lotteries and the cross-section of expected returns

Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F. - 2009

Persistent link: https://www.econbiz.de/10003823652

Financial literacy and financial sophistication among older Americans

Lusardi, Annamaria; Mitchell, Olivia S.; Curto, Vilsa - 2009

Persistent link: https://www.econbiz.de/10003901440