Duration and convexity in spanish corporate bonds

Francisco Sotos

International Advances in Economic Research, 2004, vol. 10, issue 4, 273-277

Abstract: The aim of this paper is to investigate risky-prices sensitivity to interest rate changes in the Spanish market and to see if sensitivity is lower than public debt. To contrast this hypothesis, this paper presents a model that analyzes the risky-prices sensitivity to interest rate changes through effective duration and convexity. The most relevant contribution of the paper is to obtain a better specification to the duration expression that contribute to the marginal increment of the coefficient of determination and the construction of a conditional volatility model that overcomes the linearity models of constant variance. Copyright International Atlantic Economic Society 2004

Date: 2004
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DOI: 10.1007/BF02295140

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