Title:

Stochastic Durations, the Convexity Effect, and the Impact of Interest Rate Changes

Author:

Jose Soares da Fonseca (U Coimbra)

Journal:

European Journal Of Finance

Year:

2014

Volume:

20

Number:

10-12

Pages:

994-1007

JEL code:

G12 - Asset Pricing; Trading volume; Bond Interest Rates