Bond Duration is a financial metric that measures the sensitivity of a bond's price to changes in interest rates, distinguished by its calculation as the weighted average time until the bond's cash flows are received.
101
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5.7K
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185
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109
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Publications per year
2017–2026
8
Parents
Publications
101
Bond and Option Pricing when Short Rates are Lognormal
Fischer Black, Piotr Karasinski · Financial Analysts Journal · 1991 · 688 citations
Measuring Abnormal Bond Performance
Hendrik Bessembinder, Kathleen M. Kahle, William F. Maxwell et al. · Review of Financial Studies · 2008 · 673 citations
Duration and the Measurement of Basis Risk
John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · The Journal of Business · 1979 · 231 citations
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Authors
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1–5 of 185
Institutions
109
University of Arizona
Tucson, United States
6 h-index
6 publications
882 citations
York University
Toronto, Canada
4 h-index
4 publications
90 citations
University of Pennsylvania
Philadelphia, United States
3 h-index
3 publications
93 citations
University of Manitoba
Winnipeg, Canada
3 h-index
3 publications
69 citations
Dalhousie University
Halifax, Canada
3 h-index
4 publications
102 citations
Cornell University
Ithaca, United States
3 h-index
4 publications
93 citations
University of Michigan–Dearborn
Dearborn, United States
3 h-index
4 publications
82 citations
University of Missouri
Columbia, United States
2 h-index
2 publications
37 citations
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Venues
- Financial Analysts Journal
FAJ · 12 publications · 1.1K citations
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- The Journal of Fixed Income
9 publications · 213 citations
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- The Journal of Portfolio Management
JPM · 7 publications · 107 citations
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- The Journal of Finance
7 publications · 323 citations
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- The Journal of Financial Research
6 publications · 109 citations
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