Carry Investing on the Yield Curve-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Carry Investing on the Yield Curve

Published:2019-08-11 Issue:4 Volume:75 Page:51-63
ISSN:0015-198X
Container-title:Financial Analysts Journal
language:en
Short-container-title:Financial Analysts Journal

Author:

Martens Martin¹^ORCID,Beekhuizen Paul²,Duyvesteyn Johan³^ORCID,Zomerdijk Casper⁴^ORCID

Affiliation:

1. Martin Martens is head of Quant Allocation Research at Robeco, Rotterdam, the Netherlands.

2. Paul Beekhuizen is a technical portfolio manager, Fixed Income, at Robeco, Rotterdam, the Netherlands.

3. Johan Duyvesteyn, CFA, is a portfolio manager and researcher, Quant Allocation, at Robeco, Rotterdam, the Netherlands.

4. Casper Zomerdijk, CFA, is a researcher, Quant Allocation, at Robeco, Rotterdam, the Netherlands.

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.1080/0015198X.2019.1628552

Reference22 articles.

1. Pricing the term structure with linear regressions

2. Value and Momentum Everywhere

3. Yield Spreads and Interest Rate Movements: A Bird's Eye View

4. Deviations from Covered Interest Rate Parity

5. Duffee, Gregory. 2010. “Sharpe Ratios in Term Structure Models.” Working paper, Johns Hopkins University.

Cited by 9 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Emerging Market Bonds: Expected Returns and Currency Impact;The Journal of Portfolio Management;2022-06-17

2. Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets;Finance Research Letters;2022-01

3. Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic;Finance Research Letters;2021-11

4. Hedge Funds vs. Alternative Risk Premia;Financial Analysts Journal;2021-09-06

5. Predicting Bond Returns: 70 Years of International Evidence;Financial Analysts Journal;2021-05-24

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3