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Export Reference (APA) 
Oliveira, L., joão nunes & Malcato, L. (2014). The Performance of Deterministic and Stochastic Interest Rate Risk Measures: Another Question of Dimensions?. PFN 8th Finance Conference.
Export Reference (IEEE) 
L. A. Oliveira et al.,  "The Performance of Deterministic and Stochastic Interest Rate Risk Measures: Another Question of Dimensions?", in PFN 8th Finance Conf., Vilamoura, 2014
Export BibTeX 
@misc{oliveira2014_1766417230696,
	author = "Oliveira, L. and joão nunes and Malcato, L.",
	title = "The Performance of Deterministic and Stochastic Interest Rate Risk Measures: Another Question of Dimensions?",
	year = "2014",
	howpublished = "Other",
	url = "http://www.pfn2014.org"
}
Export RIS 
TY  - CPAPER
TI  - The Performance of Deterministic and Stochastic Interest Rate Risk Measures: Another Question of Dimensions?
T2  - PFN 8th Finance Conference
AU  - Oliveira, L.
AU  - joão nunes
AU  - Malcato, L.
PY  - 2014
SN  - -
CY  - Vilamoura
UR  - http://www.pfn2014.org
AB  - 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 December 2010, suggests that: i) Stochastic interest rate risk measures provide better portfolio immunization than the Fisher-Weil duration; and ii) The superiority of the stochastic risk measures is more evident for multi-factor models and for longer investment horizons. These findings are supported by a first-order stochastic dominance analysis, and are robust against yield curve estimation errors.
ER  -