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PORTFOLIO MANAGEMENT

Empirical TIPS

Pages 31-53 | Published online: 02 Jan 2019

References

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  • Jarrow, Robert, and Yildiray Yildirim. 2003. “Pricing Treasury Inflation Protected Securities and Related Derivatives Using an HJM Model.” Journal of Financial and Quantitative Analysis, vol. 38, no. 2 (June): 337–358.
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  • Roll, Richard.. 1996. “U.S. Treasury Inflation-Indexed Bonds: The Design of a New Security.” Journal of Fixed Income, vol. 6, no. 3 (December): 9–28.

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