This paper focuses on the Spanish government debt market in an attempt to evaluate the immunization performance of the polynomial duration model of Chambers and Carleton (Chambers, D.R., Carleton, W.T., 1988. A generalized approach to duration. In: Chen, A.H. (Ed.), Research in Finance, vol. 7,...

This paper compares the immunization performance of alternative single and multiple factor duration models, using Spanish government bond data, over 1, 2 and 3-year horizons. The aim is to assess whether the success of duration-matching strategies is primarily attributable to the particular...