José S. da Fonseca

University of Coimbra

Avenida Dias da Silva, 165

Coimbra, 3001-454

Portugal

SCHOLARLY PAPERS

4

DOWNLOADS

177

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

The Equilibrium Models of Bond Pricing and Duration Measures: A New Perspective

International Conference of the French Finance Association (AFFI), May 11-13, 2011
Number of pages: 22 Posted: 12 May 2011
José S. da Fonseca
University of Coimbra
Downloads 95 (284,614)

Abstract:

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2.

Pricing Inflation Linked Bonds and Hedging Bond Portfolios: A Comparative Analysis Applied to French OAT Indexed Bonds

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 25 Posted: 04 Jun 2016 Last Revised: 29 Nov 2016
José S. da Fonseca and Béatrice de Séverac
University of Coimbra and Université Paris Ouest Nanterre La Défense
Downloads 57 (379,611)

Abstract:

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Bond pricing, break-even inflation, interest rate risk hedging, nominal interest rates, real interest rates, Treasury Inflation-Protected Securities

3.

The French Treasury Inflation Linked Bond Puzzle

Number of pages: 22 Posted: 04 Jun 2018
Béatrice de Séverac and José S. da Fonseca
CEROS and University of Coimbra
Downloads 14 (578,701)

Abstract:

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Arbitrage; Duration; Inflation Linked Bonds; Breakeven Inflation Rate; Forward Breakeven Inflation; Real Interest Rates; Duration; Inflation Risk

4.

Downside Risk Sensitivity and Conditional Stochastic Dominance in Euro Area Stock Markets

Number of pages: 18 Posted: 05 Apr 2019
José S. da Fonseca
University of Coimbra
Downloads 11 (598,366)

Abstract:

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conditional Sharpe ratios, conditional stochastic dominance, downside risk, lower partial moments, Sharpe ratios, Treynor ratios