DTS (duration times spread)
…, P Houweling, E Leeuwen, O Penninga - Journal of Portfolio …, 2007 - papers.ssrn.com
The paper proposes a new measure of spread exposure for corporate bonds portfolios based
on a detailed analysis of credit spread behavior. We find that changes in spreads are not …
on a detailed analysis of credit spread behavior. We find that changes in spreads are not …
Factor Investing in Sovereign Bond Markets: Deep Sample Evidence
G Baltussen, M Martens, O Penninga - Journal of Portfolio …, 2021 - papers.ssrn.com
We examine government bond factor premiums in a deep global sample from 1800 to 2020
spanning the major markets and maturities. Bond factors (Value, Momentum, Low-risk) offer …
spanning the major markets and maturities. Bond factors (Value, Momentum, Low-risk) offer …
[PDF][PDF] DTSSM (Duration Times Spread)
…, E van Leeuwen, O Penninga - The Journal of …, 2007 - researchgate.net
… Arik Ben Dor, Lev Dynkin, Jay Hyman, Patrick Houweling, Erik van Leeuwen, and Olaf
Penninga … OLAF PENNINGA … Penninga@robeco.nl …
Penninga … OLAF PENNINGA … Penninga@robeco.nl …
Predicting Bond Returns: 70 Years of International Evidence
G Baltussen, M Martens, O Penninga - Financial Analysts Journal, 2021 - Taylor & Francis
We use 70 years of international data from the major bond markets to examine bond return
predictability through in-sample and out-of-sample tests. Our results reveal economically …
predictability through in-sample and out-of-sample tests. Our results reveal economically …
[PDF][PDF] DTS SM (Duration Times Spread)-A New Measure of Spread Exposure in Credit Portfolios
…, J Hyman, P Houweling, E van Leeuwen, O Penninga - researchgate.net
The paper proposes a new measure of spread exposure for corporate bonds portfolios based
on a detailed analysis of credit spread behavior. We find that changes in spreads are not …
on a detailed analysis of credit spread behavior. We find that changes in spreads are not …
Predicting Bond Returns
MPE Martens, O Penninga - Financial Analysts Journal, 2021 - repub.eur.nl
We use 70 years of international data from the major bond markets to examine bond return
predictability through in-sample and out-of-sample tests. Our results reveal economically …
predictability through in-sample and out-of-sample tests. Our results reveal economically …
[PDF][PDF] MAS-R9819 September 30, 1998
O Penninga - ir.cwi.nl
Large systems of linear equations over F2 with sparse coefficient matrices have to be solved
as a part of integer factorization with sieve-based methods such as in the Number Field …
as a part of integer factorization with sieve-based methods such as in the Number Field …
[CITATION][C] Finding column dependencies in sparse matrices over F2 by block Wiedemann
O Penninga - Report-Modelling, analysis and simulation, 1998 - pascal-francis.inist.fr
… Author PENNINGA, O 1 …
Investing in deflation, inflation, and stagflation regimes
… We would like to thank Campbell Harvey, David Blitz, Martin Martens, and Olaf Penninga
for valuable contributions and discussions. The views expressed in this paper are not …
for valuable contributions and discussions. The views expressed in this paper are not …
[CITATION][C] Finding column dependencies in sparse systems over F2 by block Wiedemann
O Penninga - Master's thesis, Centrum voor Wiskunde en Informatica …, 1998