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Journal Article

Duration and the Measurement of Basis Risk

John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross
The Journal of Business
Vol. 52, No. 1 (Jan., 1979), pp. 51-61
Stable URL: http://www.jstor.org/stable/2352663
Page Count: 11
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Duration and the Measurement of Basis Risk
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Abstract

This note criticizes the traditional measures of duration and their role in the measurement of basis risk. A theoretically superior measure of basis risk, which is measured in units of time, like duration, is proposed in its place. The properties of the new measure are discussed and compared to those of the traditional measures.

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