Arbeitspapier
Duration & Dimension
In fixed income analysis, duration plays a central role as a proxy for interestrate risk exposure. Althoughthis role relies on the interpretation of duration as (minus) theyield elasticity of the bond price, duration ismeasured as a bond's present value weighted average time to maturity andexpressed in terms of years. Hence duration is regarded as an elasticity with a time dimension. Inthis note we resolve this apparentduration paradox and show that duration is a pure number.
- Language
-
Englisch
- Bibliographic citation
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Series: Tinbergen Institute Discussion Paper ; No. 99-047/2
- Classification
-
Wirtschaft
- Subject
-
Anleihe
Zins
Dauer
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Hallerbach, Winfried G.
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
1999
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hallerbach, Winfried G.
- Tinbergen Institute
Time of origin
- 1999
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Cross- and Auto-Correlation Effects arising from Averaging: The Case of US Interest Rates and Equity Duration
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The Non-Parametric Identification of Lagged Duration Dependence
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