IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v25y1990i01p127-142_00.html
   My bibliography  Save this article

A Unified Approach to Term Structure Estimation: A Methodology for Estimating the Term Structure in a Market with Frictions

Author

Listed:
  • Prisman, Eliezer Z.

Abstract

This paper develops a methodology for term structure estimation from a no-arbitrage condition in markets with frictions. The methodology unifies existing estimation procedures, such as the regression and linear programming approaches, and substantially broadens the class of useful estimation techniques. The estimators derived in this way are capable of reflecting actual market conditions, such as the asymmetry in the tax treatment of long and short positions and the higher financial cost of establishing a short position. The methodology is derived by applying the conjugate duality theory of mathematical programming.

Suggested Citation

  • Prisman, Eliezer Z., 1990. "A Unified Approach to Term Structure Estimation: A Methodology for Estimating the Term Structure in a Market with Frictions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(1), pages 127-142, March.
    • Handle: RePEc:cup:jfinqa:v:25:y:1990:i:01:p:127-142_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0022109000007055/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ioulia D. Ioffe & Eliezer Z. Prisman, 2003. "Term Structure of Interest Rates and Implied Market Frictions: The Min--Max Approach," Management Science, INFORMS, vol. 49(7), pages 965-978, July.
    2. Ehrhardt, Michael C. & Jordan, James V. & Prisman, Eliezer Z., 1995. "Tests for tax-clientele and tax-option effects in U.S. treasury bonds," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1055-1072, September.
    3. Stefan Jaschke & Richard Stehle & Stephan Wernicke, 2000. "Arbitrage und die Gültigkeit des Barwertprinzips im Markt für Bundeswertpapiere," Schmalenbach Journal of Business Research, Springer, vol. 52(5), pages 440-468, August.
    4. Ioffe, Ioulia D., 2002. "Arbitrage bounds in markets with noisy prices and the puzzle of negative option prices implicit in bonds," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1199-1228, June.
    5. Bühler, Wolfgang & Rasch, Steffen, 1995. "Steuer-Klientel-Effekte: Realität oder Illusion?," ZEW Discussion Papers 95-05, ZEW - Leibniz Centre for European Economic Research.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:25:y:1990:i:01:p:127-142_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/jfq .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.