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Envelopes for the term structure of interest rates

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorBalbás, Alejandro
dc.contributor.authorLópez, Susana
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned2011-01-13T17:06:50Z
dc.date.available2011-01-13T17:06:50Z
dc.date.issued2000-07
dc.description.abstractThis paper proposes new measures providing us with the level of sequential arbitrage in a bond market. Each measure generates a concrete proxy for the Term Structure of Interest Rates. The set of proxies allows us to compute the exact market price of any bond, may measure the tax effect, may measure the credit risk when dealing with non-default free bonds. and may solve the usual puzzle when dealing with extendible or callable bonds. Finally, an empirical test of our findings is implemented in the Spanish market
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/9966
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Business Economics
dc.relation.ispartofseries00-53
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEmpresa
dc.titleEnvelopes for the term structure of interest rates
dc.typeworking paper*
dspace.entity.typePublication
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