Yield curve analysis



Literatur

Antoniou, Antonios, Guney, Yilmaz and Paudyal , Krishna N., The Determinants of
Corporate Debt Maturity Structure (December 12, 2002). EFA 2003 Annual Conference
Paper No. 802; EFMA 2003 Helsinki Meetings. Available at SSRN:
http://ssrn.com/abstract=391571 or doi:10.2139/ssrn.391571.

Baker, Malcom, Robin Greenwood, Jeffrey Wurgler, The maturity of debt issues and
predictable variation in bond returns, Journal of Financial Economics, 2003, Vol. 70, pp.
261-291.

Bieri, David S. and Ludwig B. Chincarini, Riding the yield curve: A Variety of Strategies,
The Journal of Fixed Income, Sept. 2005, Vol. 15, No. 2, pp. 6-35.

Christiansen, Charlotte and Jesper Lund, Revisiting the Shape of the Yield Curve: The
Effect of Interest Rate Volatility, March 2002, Working Paper Series No. 104, Center
for Analytical Finance, University of Aarhus School of Business.

Chua, Choong Tze, Winston T. H. Koh and Krishna Ramaswamy, Profiting from
Mean-Reverting Yield Curve Trading Strategies, The Journal of Fixed Income, Spring
2006, Vol. 15, No. 4, pp. 20-33.

Cochrone, John H. and Monika Piazzesi, Bond Risk Premia, The American Economic
Review, March 2005, Vol. 95, No. 1, 138-160.

Crack, Timothy Falcon and Sanjay K. Nawakha: Interest Rate Sensitivities of Bond Risk
Measures, Financial Analyst Journal, Jan./Feb. 2000, Vol. 56, No. 1, pp. 34-43.

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