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Duration and Bond Return Approximation: The Quasi-Convexity Effect

https://doi.org/10.2139/ssrn.1429763
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9781118709207openalex-extracted
Handbook of Fixed‐Income Securities
inferredcites →https://doi.org/10.1016/0165-1765(94)00553-eopenalex-extracted
A new class of duration measures
inferredcites →https://doi.org/10.1016/s0377-0427(99)00028-xopenalex-extracted
How well can the concept of Padé approximant be generalized to the multivariate case?
inferredcites →https://doi.org/10.1080/00401706.1966.10490393openalex-extracted
A First Course in Numerical Analysis
inferredcites →https://doi.org/10.1086/295402openalex-extracted
Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies
inferredcites →https://doi.org/10.1086/295468openalex-extracted
Approximations to Interest Formulas
inferredcites →https://doi.org/10.1086/296033openalex-extracted
Duration and the Measurement of Basis Risk
inferredcites →https://doi.org/10.1112/blms/13.3.256bopenalex-extracted
APPROXIMATION THEORY AND NUMERICAL METHODS
inferredcites →https://doi.org/10.2139/ssrn.488623openalex-extracted
Duration & Dimension
inferredcites →https://doi.org/10.2307/2328630openalex-extracted
Bond Markets, Analysis and Strategies.
inferredcites →https://doi.org/10.2307/2330468openalex-extracted
Duration Forty Years Later
inferredcites →https://doi.org/10.2307/2951677openalex-extracted
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
inferredcites →https://doi.org/10.2469/faj.v45.n6.51openalex-extracted
Managing Yield Curve Risk in an Index Environment
inferredcites →https://doi.org/10.3905/jfi.1991.692347openalex-extracted
Common Factors Affecting Bond Returns
inferredcites →https://doi.org/10.3905/jod.1997.407971openalex-extracted
An Overview of Value at Risk
inferredcites →https://doi.org/10.3905/jpm.1990.409282openalex-extracted
Non–parallel yield curve shifts and durational leverage
inferredcites →https://doi.org/10.3905/jpm.1996.409580openalex-extracted
VAR Analytics
inferredcites →https://doi.org/10.3905/jpm.1996.71openalex-extracted
Non-Parallel Yield Curve Shifts and Stochastic Immunization
inferredcites →https://doi.org/10.3905/jpm.1997.409612openalex-extracted
Measuring Yield Curve Risk Using Principal Components, Analysis, Value, At Risk, And Key Rate Durations
inferredcites →https://doi.org/10.4324/9781315145976-11openalex-extracted
Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies*
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