[Download] "Duration and Convexity in Spanish Corporate Bonds." by International Advances in Economic Research # Book PDF Kindle ePub Free
eBook details
- Title: Duration and Convexity in Spanish Corporate Bonds.
- Author : International Advances in Economic Research
- Release Date : January 01, 2004
- Genre: Business & Personal Finance,Books,
- Pages : * pages
- Size : 245 KB
Description
Abstract The aim of this paper is to investigate risky-prices sensitivity to interest rate changes in the Spanish market and to see if sensitivity is lower than public debt. To contrast this hypothesis, this paper presents a model that analyzes the risky-prices sensitivity to interest rate changes through effective duration and convexity. The most relevant contribution of the paper is to obtain a better specification to the duration expression that contribute to the marginal increment of the coefficient of determination and the construction of a conditional volatility model that overcomes the linearity models of constant variance. (JEL E43, G19)
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