The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?
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 Decembe...
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| Outros Autores: | , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2015
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| Assuntos: | |
| Texto completo: | https://ciencia.iscte-iul.pt/public/pub/id/18897 |
| País: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/8428 |