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

Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

Overview

13 Scopus Citations

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Author(s)

Xueping Wu

Related Research Unit(s)

Department of Economics and Finance

Detail(s)

Original language	English
Pages (from-to)	911-932
Journal / Publication	Journal of Business Finance and Accounting
Volume	27
Issue number	7-8
Publication status	Published - Sep 2000

Link(s)

DOI	DOI https://doi.org/10.1111/1468-5957.00339 Final Published version
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Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-32144462004&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(2028a961-f21d-42bd-9936-c967cb2f35c0).html

Citation Format(s)

[ RIS ] [ BibTeX ]

A new stochastic duration based on the vasicek and CIR term structure theories. / Wu, Xueping.

In: Journal of Business Finance and Accounting, Vol. 27, No. 7-8, 09.2000, p. 911-932.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

Wu, X 2000, 'A new stochastic duration based on the vasicek and CIR term structure theories', Journal of Business Finance and Accounting, vol. 27, no. 7-8, pp. 911-932. https://doi.org/10.1111/1468-5957.00339

Wu, X. (2000). A new stochastic duration based on the vasicek and CIR term structure theories. Journal of Business Finance and Accounting, 27(7-8), 911-932. https://doi.org/10.1111/1468-5957.00339

Wu X. A new stochastic duration based on the vasicek and CIR term structure theories. Journal of Business Finance and Accounting. 2000 Sep;27(7-8):911-932. doi: 10.1111/1468-5957.00339

Wu, Xueping. / A new stochastic duration based on the vasicek and CIR term structure theories. In: Journal of Business Finance and Accounting. 2000 ; Vol. 27, No. 7-8. pp. 911-932.