A new stochastic duration based on the vasicek and CIR term structure theories

Xueping Wu

doi:10.1111/1468-5957.00339

A new stochastic duration based on the vasicek and CIR term structure theories

Xueping Wu

Department of Economics and Finance

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

15 Citations (Scopus)

Original language	English
Pages (from-to)	911-932
Journal	Journal of Business Finance and Accounting
Volume	27
Issue number	7-8
DOIs	https://doi.org/10.1111/1468-5957.00339
Publication status	Published - Sept 2000

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title = "A new stochastic duration based on the vasicek and CIR term structure theories",

author = "Xueping Wu",

year = "2000",

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pages = "911--932",

journal = "Journal of Business Finance and Accounting",

issn = "0306-686X",

publisher = "Wiley-Blackwell",

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DO - 10.1111/1468-5957.00339

M3 - RGC 21 - Publication in refereed journal

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SP - 911

EP - 932

JO - Journal of Business Finance and Accounting

JF - Journal of Business Finance and Accounting

IS - 7-8

ER -

A new stochastic duration based on the vasicek and CIR term structure theories

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