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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
Published by: The University of Chicago Press
Stable URL: http://www.jstor.org/stable/2352663
Page Count: 11
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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.
The Journal of Business © 1979 The University of Chicago Press