GDP-linked bonds as a new asset class

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2024-08-30 DOI:10.1080/14697688.2024.2386323

Ellie Papavassiliou, Nikolas Topaloglou, Stavros A. Zenios

引用次数: 0

Abstract

Using stochastic spanning tests without any distributional assumptions on returns, we show that the two classes of GDP-linked bonds, floaters and linkers, are not spanned by a broad benchmark set o...

查看原文本刊更多论文

与 GDP 挂钩的债券作为一种新的资产类别

我们使用随机跨度测试，在不对回报率进行任何分布假设的情况下，证明浮动债券和挂钩债券这两类与 GDP 挂钩的债券没有被一组广泛的基准债券跨度所跨度。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.