Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10071/8428
Registo completo
Campo DC | Valor | Idioma |
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dc.contributor.author | Oliveira, L. | - |
dc.contributor.author | Nunes, J. | - |
dc.contributor.author | Malcato, L. | - |
dc.date.accessioned | 2015-02-03T11:46:49Z | - |
dc.date.available | 2015-02-03T11:46:49Z | - |
dc.date.issued | 2014 | - |
dc.identifier.issn | 1617-982X | por |
dc.identifier.uri | https://ciencia.iscte-iul.pt/public/pub/id/18897 | - |
dc.identifier.uri | http://hdl.handle.net/10071/8428 | - |
dc.description | WOS:000346643400001 (Nº de Acesso Web of Science) | - |
dc.description.abstract | The efficiency of traditional and stochastic interest rate risk measures is compared under one-, two-, and three-factor no-arbitrage Gauss-Markov term structure models, and for different immunization periods. The empirical analysis, run on the German Treasury bond market from January 2000 to December 2010, suggests that: i) Stochastic interest rate risk measures provide better portfolio immunization than the Fisher-Weil duration; and ii) The superiority of the stochastic risk measures is more evident for multi-factor models and for longer investment horizons. These findings are supported by a first-order stochastic dominance analysis, and are robust against yield curve estimation errors. | por |
dc.language.iso | eng | por |
dc.publisher | Springer Verlag | por |
dc.relation | info:eu-repo/grantAgreement/FCT/3599-PPCDT/99255/PT | - |
dc.rights | openAccess | por |
dc.subject | Interest rate risk | por |
dc.subject | Asset-liability management | por |
dc.subject | Immunization strategies | por |
dc.subject | Stochastic duration | por |
dc.subject | Stochastic dominance | por |
dc.title | The performance of deterministic and stochastic interest rate risk measures: another question of dimensions? | por |
dc.type | article | en_US |
dc.pagination | 141-165 | por |
dc.publicationstatus | Publicado | por |
dc.peerreviewed | Sim | por |
dc.relation.publisherversion | The definitive version is available at: http://dx.doi.org/10.1007/s1058-014-0104-8 | por |
dc.journal | Portuguese Economic Journal | por |
dc.distribution | Internacional | por |
dc.volume | 13 | por |
dc.number | 3 | por |
degois.publication.firstPage | 141 | por |
degois.publication.lastPage | 165 | por |
degois.publication.issue | 3 | por |
degois.publication.title | Portuguese Economic Journal | por |
dc.date.updated | 2015-02-03T11:35:42Z | - |
dc.identifier.doi | 10.1007/s1058-014-0104-8 | - |
Aparece nas coleções: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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publisher_version_Portuguese_Economic_Journal.pdf | 478,63 kB | Adobe PDF | Ver/Abrir |
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