NDLI: Duration and convexity in spanish corporate bonds

Content Provider	Springer Nature Link
Author	Sotos, Francisco Escriba
Copyright Year	2004
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.
Starting Page	273
Ending Page	277
Page Count	5
File Format	PDF
ISSN	10830898
Journal	International Advances in Economic Research
Volume Number	10
Issue Number	4
e-ISSN	1573966X
Language	English
Publisher	Kluwer Academic Publishers
Publisher Date	2004-01-01
Publisher Place	Boston
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Economics general Economic Growth International Economics Macroeconomics/Monetary Economics Microeconomics
Content Type	Text
Resource Type	Article
Subject	Economics and Econometrics

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Duration and convexity in spanish corporate bonds