Empirical TIPS

Financial Analysts Journal

Volumn 60, Issue 1, 2004, Pages 31-53

  Roll, Richard ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 13444297588     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v60.n1.2591     Document Type: Review

References (6)

1. Arnott, Robert D. 2003. "Editor's Corner: The Mystery of TIPS." Financial Analysts Journal, vol. 59, no. 5 (September/October):4-7.
2. Canina, Linda, Roni Michaely, Richard Thaler, and Kent Womack. 1998. "Caveat Compounder: A Warning about Using the Daily CRSP Equal-Weighted Index to Compute Long-Run Excess Returns." Journal of Finance, vol. 53, no. 1 (February): 403-116.
3. 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.
4. Litterman, Robert, and José Scheinkman. 1991. "Common Factors Affecting Bond Returns." Journal of Fixed Income, vol. 1, no. 1 (June):54-61.
5. Newey, Whitney K., and Kenneth D. West. 1987. "A Simple Positive Semi-Definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix." Econometrica, vol. 55, no. 3 (May):703-708.
6. 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.