由于Empirical duration考虑到了benchmark rate与spread的抵消作用,所以他对应的债券价格改变幅度会相对更小一点,于是回归出来的empirical duration会比较小。 反而基于理论的effective duration没有考虑到这点,其数值会更大一点。 结论是:同一只债券,其empirical duration要小于effective duration,越是垃圾债,这种差异就越明...
Empirical Duration是小于Analytical DurationCFA I Fixed Income 为何Empirical Duration小于Analytical Duration 经济变好的时候,benchmark是上升,但是spread 不是也在扩大吗,为何之前的视频说经济好的时候spread是缩小的,添加评论 0 0 1 个答案 笛子_品职助教 · 2024年11月02日 嗨,从没放弃的小努力你好: Hello,...
Analytical duration,例如Modified duration/macaulay duration,这些数据都是YTM的函数,当benchmark rate改变时,YTM改变,这一定会导致Analytical duration改变。 Empirical 是经验得出y变化对 bond 价格的影响,%△P=b0+ b1y+残差,spread可以抵消 benchmark 变动对 bond 价格的影响,Empirical Duration high yield bond spre...
For comparison, we also predicted fat by a simple microgravimetric method that is based on microdrying, Dumas (CHN) nitrogen, and an empirical constant (Figure 3B). With this procedure, (1) predicted fat was tightly correlated to measured fat, (2) the slope and intercept of the regression...
The generated empirical models for both hydrogen and methane concentrations were significant but that for the carbon monoxide concentration behavior was not. As an input factor, temperature was significant but sludge feed rate was not. Mass and energy balances revealed process effic...
Here, we aimed to uncover empirical and methodological gaps in the peer-reviewed literature on bTB. Our intention is to use bTB as an example of a complex multihost zoonotic disease for which recent developments with sampling design, animal monitoring tools and technology, and mathematical modelling...
Microplastic as a vector for chemicals in the aquatic environment: critical review and model-supported reinterpretation of empirical studies. Environ Sci Technol. 2016;50(7):3315–26. CAS PubMed PubMed Central Google Scholar Rochman CM, Lewison RL, Eriksen M, Allen H, Cook A-M, Teh SJ. ...
In summary, empirical studies have revealed that many women have an unmet need for contraception during the postpartum period (Ross and Frankenberg 1993; Ross and Winfrey 2001). The length and intensity of breastfeeding varies widely among women and across societies and is an important factor in...
A study on lung cancer biomarkers outlined an empirical approach to identify endogenous circulating miRNAs for normalization [39]. Another study categorized sets of reference miRNAs for tissue-based analysis of colorectal and pancreatic adenocarcinoma [40]. When a relatively large number of miRNAs are ...
An empirical coking kinetic model has been developed to calculate the rate of coke formation considering the effect of surface coverage, local precursor concentrations, and wall temperature. The developed kinetic model satisfactorily predicted the pyrolytic depositions with an averaged ...