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Bond Holding Period Return Decomposition
SSRN Electronic Journal, 2013The problem of decomposing bond portfolio holding period returns is addressed in this paper. Bond holding period returns are decomposed into four main components, the non-random horizon component, the spread component, the base-rate component, and an interaction component.
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Bond Portfolio Holding Period Return Decomposition
The Journal of Investing, 2017Bond portfolio holding period returns are decomposed into four macro components: horizon, spot rate, spread, and interaction. The spot rate and spread could be decomposed further based on modified duration, convexity, and cross-convexity, each of which could be further decomposed into three subcomponents tied to level, slope, and curvature.
Robert Brooks, Kate Upton
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return-period analysis with sliding polynomials
Transactions of the ASAE, 1983ABSTRACT A method of return-period analysis is presented which does not require assumption of a probability function or of plotting positions. Piece-wise sliding polynomials are used to smooth historical samples by least squares. Imposition of a boundary control produces a restrained fitting which suppresses much sample-to-sample variability for ...
null W. M. Snyder, null A. W. Thomas
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Return Periods and Return Levels Under Climate Change
2012We investigate the notions of return period and return level for a nonstationary climate. We discuss two general methods for communicating risk. The first eschews the term return period and instead communicates yearly risk in terms of a probability of exceedance. The second extends the notion of return period to the non-stationary setting.
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How Does a Return Period Policy Change Affect Multichannel Retailer Profitability?
Manufacturing and Service Operations Management, 2021Necati Ertekin, Anupam Agrawal
exaly
Urban flooding response to rainstorm scenarios under different return period types
Sustainable Cities and Society, 2022Hang Zhang
exaly