Chinese Journal of Management Science ›› 2003, Vol. ›› Issue (1): 28-32.
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CAI Ming-chao, YANG Chao-jun, ZHANG Jing
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Abstract: Brown Bridge model and Macaulay Duration model are adopted to study the risk characters of Chinese government bondsWe find that maturity and holding period are two important factors that influence bond risk,but bond price doesn’tIn Brown Bridge model fluctuation ratio fits well than variance as an indicator of risk.
Key words: Brown bridge model, macaulay duration, monetary policy
CLC Number:
F832
CAI Ming-chao, YANG Chao-jun, ZHANG Jing. Brown Motion and Duration Method in Government Bonds’ Price Behavior[J]. Chinese Journal of Management Science, 2003, (1): 28-32.
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