Johan G. Duyvesteyn

Robeco Asset Management

Rotterdam, 3011 AG

Netherlands

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 18,529

SSRN RANKINGS

Top 18,529

in Total Papers Downloads

2,599

SSRN CITATIONS
Rank 42,478

SSRN RANKINGS

Top 42,478

in Total Papers Citations

10

CROSSREF CITATIONS

2

Scholarly Papers (6)

1.

Riding the Swaption Curve

Journal of Banking and Finance, Vol. 59, 2015
Number of pages: 61 Posted: 21 Feb 2012 Last Revised: 25 Jan 2016
Johan G. Duyvesteyn and Gerben J. de Zwart
Robeco Asset Management and APG Asset Management
Downloads 686 (37,134)

Abstract:

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Volatility risk premium, Term structure, Swaptions, Straddles, Bonds, Interest rate derivatives

2.

Carry Investing on the Yield Curve

Financial Analysts Journal, Forthcoming
Number of pages: 20 Posted: 13 Jul 2016 Last Revised: 10 Jul 2019
Martin Martens, Paul Beekhuizen, Johan G. Duyvesteyn and Casper Zomerdijk
Erasmus University Rotterdam (EUR), Robeco Asset Management, Robeco Asset Management and Robeco Asset Management
Downloads 601 (44,187)
Citation 2

Abstract:

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Carry, Predictability, Betting-Against-Beta, Government Bonds

3.

Forecasting Sovereign Default risk with Merton’s Model

Journal of Fixed Income, Vol. 25, No. 2, 2015
Number of pages: 26 Posted: 14 May 2011 Last Revised: 25 Jan 2016
Johan G. Duyvesteyn and Martin Martens
Robeco Asset Management and Erasmus University Rotterdam (EUR)
Downloads 553 (49,182)
Citation 1

Abstract:

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Sovereign credit risk, structural model, emerging debt

4.

Forecasting Bond Returns Using Jumps in Intraday Prices

Journal of Fixed Income, Vol. 20, No. 4, 2011
Number of pages: 19 Posted: 01 Dec 2010 Last Revised: 05 Apr 2013
Johan G. Duyvesteyn, Martin Martens and Siawash Safavi Nic
Robeco Asset Management, Erasmus University Rotterdam (EUR) and Robeco Asset Management
Downloads 394 (74,736)

Abstract:

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Bond return predictability, mean-reversion, realized jumps

5.

Political Risk and Expected Government Bond Returns

Journal of Empirical Finance, Volume 38, Part A, September 2016, Pages 498-512
Number of pages: 29 Posted: 26 Jul 2014 Last Revised: 21 Jun 2019
Johan G. Duyvesteyn, Martin Martens and Patrick Verwijmeren
Robeco Asset Management, Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 270 (113,770)
Citation 3

Abstract:

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political risk, government bond debt, credit rating, emerging debt

6.

Emerging Government Bond Market Timing

Journal of Fixed Income, Vol. 23, No. 3, 2014
Number of pages: 23 Posted: 16 Feb 2013 Last Revised: 03 Jul 2019
Johan G. Duyvesteyn and Martin Martens
Robeco Asset Management and Erasmus University Rotterdam (EUR)
Downloads 95 (276,498)
Citation 6

Abstract:

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Market timing, emerging debt, government bonds, bond momentum