Alternative Duration Specifications and the Measurement of Basis Risk: Empirical Tests

• 1 January 1984
• journal article
• Published by University of Chicago Press in The Journal of Business
• Vol. 57  (2) , 241
• https://doi.org/10.1086/296261

Abstract

Keywords

• BASIS RISK
• EMPIRICAL TESTS
• DURATION SPECIFICATIONS
• ALTERNATIVE DURATION
• MEASUREMENT OF BASIS

All Related Versions

• Version 1, RePEc (Unconfirmed version)