Envelopes for the term structure of interest rates

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dc.contributor.author Balbás, Alejandro
dc.contributor.author López, Susana
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned 2011-01-13T17:06:50Z
dc.date.available 2011-01-13T17:06:50Z
dc.date.issued 2000-07
dc.identifier.uri http://hdl.handle.net/10016/9966
dc.description.abstract This 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.mimetype application/octet-stream
dc.format.mimetype application/octet-stream
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Business Economics
dc.relation.ispartofseries 00-53
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title Envelopes for the term structure of interest rates
dc.type workingPaper
dc.subject.eciencia Empresa
dc.rights.accessRights openAccess
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