haku: @journal_id 62 / yhteensä: 680
viite: 162 / 680
| Tekijä: | Prisman, E. Z. |
| Otsikko: | A unified approach to term structure estimation. |
| Lehti: | Journal of Financial and Quantitative Analysis
1990 : MAR, VOL. 25:1, p. 127-142 |
| Asiasana: | INTEREST RATES |
| Kieli: | eng |
| Tiivistelmä: | A methodology for term structure estimation from a non-arbitrage condition in markets with frictions, related to estimation procedures. Term structure estimation and non-arbitrage conditions. Linear programming and equilibrium in markets with taxes. Regression approach and equilibrium in markets with taxes. Example of term structure estimation with specific frictions function. Preliminaries and the example. A generalized framework for term structure estimation. Methodology. Two Figures illustrate the study. |
SCIMA