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A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA)
Oliveira, L., Nunes, J. & Malcato, L. (2014). The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?. Portuguese Economic Journal. 13 (3), 141-165
Exportar Referência (IEEE)
L. A. Oliveira et al.,  "The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?", in Portuguese Economic Journal, vol. 13, no. 3, pp. 141-165, 2014
Exportar BibTeX
@article{oliveira2014_1566513205306,
	author = "Oliveira, L. and Nunes, J. and Malcato, L.",
	title = "The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?",
	journal = "Portuguese Economic Journal",
	year = "2014",
	volume = "13",
	number = "3",
	doi = "10.1007/s1058-014-0104-8",
	pages = "141-165",
	url = "http://link.springer.com/article/10.1007/s10258-014-0105-7"
}
Exportar RIS
TY  - JOUR
TI  - The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?
T2  - Portuguese Economic Journal
VL  - 13
IS  - 3
AU  - Oliveira, L.
AU  - Nunes, J.
AU  - Malcato, L.
PY  - 2014
SP  - 141-165
SN  - 1617-982X
DO  - 10.1007/s1058-014-0104-8
UR  - http://link.springer.com/article/10.1007/s10258-014-0105-7
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  -