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Duration and convexity in spanish corporate bonds

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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.

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Authors and Affiliations

  1. University de Castilla, Spain

    Francisco Escribano Sotos

Authors
  1. Francisco Escribano Sotos
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Additional information

The author would like to acknowledge the financial support provided by Junta de Comunidades grants, PAC 02-001.

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Sotos, F.E. Duration and convexity in spanish corporate bonds. International Advances in Economic Research 10, 273–277 (2004). https://doi.org/10.1007/BF02295140

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  • DOI: https://doi.org/10.1007/BF02295140

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