Hostname: page-component-586b7cd67f-t7fkt Total loading time: 0 Render date: 2024-11-20T08:52:16.335Z Has data issue: false hasContentIssue false
  • English
  • Français

Measuring Bond Price Volatility

Published online by Cambridge University Press:  06 April 2009

Miles Livingston
Get access Rights & Permissions [Opens in a new window]

Extract

In the literature dealing with bond price volatility, there have been two divergent approaches. On the one hand, theoretical papers have looked at bond price volatility in the instantaneous framework of the calculus. Using the derivative of bond price (P) with respect to yield to maturity (y), it has been shown that volatility is linearly related to this derivative (dP/dy). (See [10].)

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 2 , June 1979 , pp. 343 - 349
Copyright
Copyright © School of Business Administration, University of Washington 1979

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Bierwag, G. “Immunization, Duration, and Term Structure of Interest Rates.” Journal of Financial and Quantitative Analysis (12 1977), pp. 725–42.CrossRefGoogle Scholar
[2]Bierwag, G., and Kaufman, G.. Journal of Business (07 1977), pp. 364–70.CrossRefGoogle Scholar
[3]Boquist, J.; Racette, G.; and Schlarbaum, G.. “Duration and Risk Assessment for Bonds and Common Stocks.” Journal of Finance (12 1975), pp. 1360–63.CrossRefGoogle Scholar
[4]Carr, J.; Halpern, P.; and McCallum, J.. “Correcting the Yield Curve: A Re-Interpretation of the Duration Problem.” Journal of Finance (09 1974), pp. 1287–94.Google Scholar
[5]Cooper, I. “Asset Values, Interest Rate Changes, and Duration.” Journal of Financial and Quantitative Analysis (12 1977), pp. 701–23.CrossRefGoogle Scholar
[6]Cramer, R., and Hawk, S.. “The Consideration of Coupon Levels, Taxes, Reinvestment Rates, and Maturity in the Investment Management of Financial Institutions.” Journal of Financial and Quantitative Analysis (03 1975), pp. 67–84.CrossRefGoogle Scholar
[7]Fisher, L., and Weil, R.. “Coping with the Risk of Interest Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies.” Journal of Business (10 1971), pp. 408–32.CrossRefGoogle Scholar
[8]Francis, J.Analysis and Management, 2nd ed.New York:McGraw-Hill (1976).Google Scholar
[9]Haugen, R., and Wichern, D.. “The Elasticity of Financial Assets.” Journal of Finance (09 1974), pp. 1229–40.CrossRefGoogle Scholar
[10]Hopewell, M., and Kaufman, G.. “Bond Price Volatility and Term to Maturity: A Generalized Respectification.” American Economic Review (09 1973), pp. 749–53.Google Scholar
[11]Livingston, M., and Caks, J.. “A ‘Duration’ Fallacy.” Journal of Finance (03 1977), pp. 185–87.Google Scholar
[12]Livingston, M. “Duration and Risk Assessment for Bonds and Common Stocks: A Note.” Journal of Finance (03 1978), pp. 293–95.Google Scholar
[13]Macaulay, F.Some Theoretical Problems Suggested by the Movement of Interest Rates, Bond Yields and Stock Prices in the U. S. Since 1856. New York (1938).Google Scholar
[14]Yawitz, J. “The Relative Importance of Duration and Yield Volatility on Bond Price Volatility.” Journal of Money, Credit and Banking, Part I (02 1977), pp. 97–107.CrossRefGoogle Scholar