Publisher Summary The term structure of interest rates at any time is the function relating
interest rate to term. The study of the term structure inquires what market forces are …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

This paper examines holding period returns to constant duration portfolios of US
Government notes and bonds, and measures the return premium generated by liquidity …

This paper estimates expected future real interest rates and inflation rates from observed
prices of UK government nominal and index-linked bonds. The estimation method takes …

Random Bernstein polynomials which are also probability distribution functions on the
closed unit interval are studied. The probability law of a Bernstein polynomial so defined …

Studies estimating the term structure using a linear approximation to the discount function
frequently use spline functions. Many of these functions can be shown to generate a …

This paper estimates real term structures from cross-sections of British government index-
linked ('realrd) bond prices. The Cox, Ingersoll, and Ross (1985) model is then fitted to the …

The purpose of this study is to extend the analysis of estimation of the term structure. The
ability of the exponential/polynomial present-value function of equation (5) to approximate …

In 1885, Weierstrass published his famous theorem asserting that every continuous function
in a compact interval of the real line is the uniform limit of a sequence of algebraic …

Tax considerations governing bondholders' optimal trading include: capital loss realization;
capital gain deferment; change of the long-term holding period status to short-term by sale of …