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The Macaulay version of duration measure * had to be modified a little bit in order to make it usable as a measure of bond
The Macaulay version of duration measure * had to be modified a little bit in order to make it usable as a measure of bond price volatility * does not find true volatility at low YTM rates * always produces a number for volatility that is higher than the maturity of the bond in question * all of the above are true
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The Oxford Handbook Of The Sociology Of Finance
Authors: Karin Knorr Cetina, Alex Preda
1st Edition
0198708777, 978-0198708773
