A statistical analysis to determine the price sensitivity of a bond based on observed market prices and their relationship to the prevailing yields. Duration is the sensitivity of a bond to changes in the yield.
Related information about empirical duration:
- Empirical Duration Definition | Investopedia
The calculation of a bond's duration based on historical data. Empirical duration is estimated statistically using historical market-based bond prices and historical ...
- Treasury Futures Empirical Duration Tool
Treasury futures empirical duration tool gives a way to estimate Treasury future prices for given changes in yield.
- Empirical Duration of Corporate Bonds and Credit ... - CFA Institute
Empirical Duration of Corporate Bonds and Credit Market Segmentation.
- FactSet's Taking Risk blog : Empirical durations: A tool to gauge ...
Aug 30, 2011 ... Empirical duration is a method used to approximate a security's sensitivity to ... Empirical duration uses market prices, so it can be an impartial ...
- What is empirical duration? definition and meaning
Definition of empirical duration: A statistical analysis to determine the price sensitivity of a bond based on observed market prices and their relationship to the ...
- Empirical Duration of Corporate Bonds and Credit Market ...
This article provides a unified and coherent treatment of the relation between the analytical and empirical duration of corporate bonds based on theoretical and ...
- MBS Relative Performance and Bond Duration - An Intro
Feb 6, 2012 ... The slope of this regression line is the “empirical duration. ... For example, if the empirical duration for an MBS is longer than its OAD, the ...
- hedging effectiveness of mortgage backed securities using empirical ...
estimate several measures of empirical duration, (market-implied duration), and compare them with dealer estimates derived from analytical interest rate and ...