Betting against beta (and gamma) using government bonds
Year of publication: |
2015
|
---|---|
Authors: | Durham, J. Benson |
Publisher: |
New York, NY : Federal Reserve Bank of New York |
Subject: | asset pricing | term structure | risk parity | betting against beta |
Series: | Staff Report ; 708 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 816100969 [GVK] hdl:10419/120837 [Handle] |
Classification: | G10 - General Financial Markets. General ; G12 - Asset Pricing ; G15 - International Financial Markets |
Source: |
-
Betting against beta (and gamma) using government bonds
Durham, J. Benson, (2015)
-
Betting against beta (and gamma) using government bonds
Durham, J. Benson, (2015)
-
Testing Multi-Factor Asset Pricing Models in the Visegrad Countries
Borys, Magdalena Morgese Borys, (2011)
- More ...
-
Arbitrage-free models of stocks and bonds
Durham, J. Benson, (2013)
-
Another view on U.S. Treasury term premiums
Durham, J. Benson, (2013)
-
Arbitrage-free affine models of the forward price of foreign currency
Durham, J. Benson, (2014)
- More ...