Immunization using a stochastic-process independent multi-factor model: The Portuguese experience-Reference-Cited by-同舟云学术

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Immunization using a stochastic-process independent multi-factor model: The Portuguese experience

Published:2006-01 Issue:1 Volume:30 Page:133-156
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Ventura Bravo Jorge Miguel,Pereira da Silva Carlos Manuel

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference51 articles.

1. Duration and the term structure of interest rate volatility;Babbel,1983

2. When can you immunize a bond portfolio?;Balbás;Journal of Banking and Finance,1998

3. Dispersion measures as immunization risk measures;Balbás;Journal of Banking and Finance,2002

4. Immunization using principal component analysis;Barber;The Journal of Portfolio Management,1996

5. European fixed income markets: Money, bond, and interest rate derivatives;Batten,2004

Cited by 27 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. On the yield curve and the performance of some popular fixed-income strategies;Expert Systems with Applications;2024-05

2. Duration Concepts, Analysis, and Applications;Encyclopedia of Finance;2022

3. Backtesting Recurrent Neural Networks with Gated Recurrent Unit: Probing with Chilean Mortality Data;Lecture Notes in Networks and Systems;2022

4. Model Risk in Bond Portfolio Hedging;SSRN Electronic Journal;2022

5. Immunization With Consistent Term Structure Dynamics;SSRN Electronic Journal;2022

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