%0 Journal Article %1 citeulike:1915019 %A Cox, John C. %A Ingersoll, Jonathan E. %A Ross, Stephen A. %D 1979 %J The Journal of Business %K finmath, risk, yield-curve %N 1 %P 51--61 %T Duration and the Measurement of Basis Risk %U http://www.jstor.org/stable/2352663 %V 52 %X This note criticizes the traditional measures of duration and their role in the measurement of basis risk. A theoretically superior measure of basis risk, which is measured in units of time, like duration, is proposed in its place. The properties of the new measure are discussed and compared to those of the traditional measures.

@article{citeulike:1915019, abstract = {{This note criticizes the traditional measures of duration and their role in the measurement of basis risk. A theoretically superior measure of basis risk, which is measured in units of time, like duration, is proposed in its place. The properties of the new measure are discussed and compared to those of the traditional measures.}}, added-at = {2019-06-18T20:47:03.000+0200}, author = {Cox, John C. and Ingersoll, Jonathan E. and Ross, Stephen A.}, biburl = {https://www.bibsonomy.org/bibtex/2fce42bdfc058e8535d3da258e53411b8/alexv}, citeulike-article-id = {1915019}, citeulike-attachment-1 = {cox_79_duration_24341.pdf; /pdf/user/alexv/article/1915019/24341/cox_79_duration_24341.pdf; 1297fe88647f0d5a249a81c573291dbe32e3021e}, citeulike-linkout-0 = {http://www.jstor.org/stable/2352663}, file = {cox_79_duration_24341.pdf}, interhash = {dd332f81b876748c7577b043c8a761c2}, intrahash = {fce42bdfc058e8535d3da258e53411b8}, journal = {The Journal of Business}, keywords = {finmath, risk, yield-curve}, number = 1, pages = {51--61}, posted-at = {2007-11-14 17:37:55}, priority = {1}, timestamp = {2019-06-18T20:47:03.000+0200}, title = {{Duration and the Measurement of Basis Risk}}, url = {http://www.jstor.org/stable/2352663}, volume = 52, year = 1979 }