Analyzing Hedging Strategies for Fixed Income Portfolios: A Bayesian Approach for Model Selection
Subsequent to the introduction of the Euro in 1999, government bond yields of countries within the European monetary union (EMU) converged. Consequently, EMU government bond yields basically co-moved, resulting in relatively stable yield spreads (Figure 1), revealing little differences in sovereign risk at least before the beginning of the financial crisis in 2008. Consequently, there was a high level of substitutability in a sense that futures contracts on bonds of one country could be used
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net