Analyzing hedging strategies for fixed income portfolios : a Bayesian approach for model selection
Wolfgang Bessler, Alexander Leonhardt, Dominik Wolff
| Year of publication: |
July 2016
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|---|---|
| Authors: | Bessler, Wolfgang ; Leonhardt, Alexander ; Wolff, Dominik |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 46.2016, p. 239-256
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| Subject: | Sovereign debt crisis | Bond portfolio management | Interest rate futures | MGARCH | Bayesian composite hedging | Hedge ratio and hedging effectiveness | Hedging | Anleihe | Bond | Portfolio-Management | Portfolio selection | Zinsderivat | Interest rate derivative | Theorie | Theory | Bayes-Statistik | Bayesian inference | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2015.11.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011581819