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Full-Text Articles in Physical Sciences and Mathematics
Some Statistical Models For Durations And Their Applications In Finance, Harry Zheng, David E. Allen, Lyn C. Thomas
Some Statistical Models For Durations And Their Applications In Finance, Harry Zheng, David E. Allen, Lyn C. Thomas
Research outputs pre 2011
We first consider a new class of time series models (introduced by Engle and Russell (1998)) use in statistical applications in finance. These models treat the time between events (durations) as a stochastic process and the corresponding durations are modelled using a theory similar to that of autoregressive processes. This new class of time series models is called Autoregressive Conditional Duration (ACD) models. Various extensions and the statistical properties of this class of ACD models are given. We also suggest some alternative models for durations arising from the market microstructure literature. An estimation procedure is discussed. The theory is illustrated …
The Duration Derby : A Comparison Of Duration Based Strategies In Asset Liability Management, Harry Zheng, David E. Allen, Lyn C. Thomas
The Duration Derby : A Comparison Of Duration Based Strategies In Asset Liability Management, Harry Zheng, David E. Allen, Lyn C. Thomas
Research outputs pre 2011
Macaulay duration matched strategy is a key tool in bond portfolio immunization. It is well known that if term structures are not at or changes are not parallel, then Macaulay duration matched portfolio can not guarantee adequate immunization. In this paper the approximate duration is proposed to measure the bond price sensitivity to changes of interest rates of non- at term structures. Its performance in immunization is compared with those of Macaulay, partial and key rate durations using the US Treasury STRIPS and Bond data. Approximate duration turns out to be a possible contender in asset liability management: it does …