From Ad Hoc Bond-Risk Measures to Variance–Covariance Forecasts

Marielle De Jong and Frank J. Fabozzi
The Journal of Fixed Income Spring 2021, 30 (4) 6-16; DOI: https://doi.org/10.3905/jfi.2021.1.105

Article Information

vol. 30 no. 4 6-16
DOI 
https://doi.org/10.3905/jfi.2021.1.105
Published By 
Pageant Media Ltd
Print ISSN 
1059-8596
Online ISSN 
2168-8648
History 
  • Published online April 1, 2021.

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© 2021 Pageant Media Ltd

Author Information

  1. Marielle De Jong
    1. is an associate professor of finance at the Grenoble Ecole de Management in Grenoble, France. (marielle.de-jong{at}grenoble-em.com)
  2. Frank J. Fabozzi
    1. is a professor of finance at the EDHEC Business School in Nice, France. (frank.fabozzi{at}edhec.edu)
  1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
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From Ad Hoc Bond-Risk Measures to Variance–Covariance Forecasts
Marielle De Jong, Frank J. Fabozzi
The Journal of Fixed Income Mar 2021, 30 (4) 6-16; DOI: 10.3905/jfi.2021.1.105
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