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Estimation of Term Premiums from Average Yield Differentials in the Term Structure of Interest Rates

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  • Nelson, Charles R

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  • Nelson, Charles R, 1972. "Estimation of Term Premiums from Average Yield Differentials in the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 40(2), pages 277-287, March.
    • Handle: RePEc:ecm:emetrp:v:40:y:1972:i:2:p:277-87
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    Cited by:

    1. M. Dolores Robles Fernandez & Rafael Florez De Frutos, 2000. "Time varying term premia and risk: the case of the Spanish interbank money market," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 243-260.
    2. Kozicki, Sharon & Tinsley, P. A., 2001. "Shifting endpoints in the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 613-652, June.
    3. Christopher M. Bilson & Timothy J. Brailsford & Luke J. Sullivan & Sirimon Treepongkaruna, 2008. "Pricing Bonds in the Australian Market," Australian Journal of Management, Australian School of Business, vol. 33(1), pages 123-143, June.
    4. Mayanja, Abubaker & Mayengo, Israel, 2007. "Municipal Bonds for Financing Development of infrastructure: A way forward for KCC and Local Governments in Uganda," MPRA Paper 4585, University Library of Munich, Germany.
    5. Ben Hunt, 1995. "Modelling the Yields on Australian Coupon Paying Bonds," Working Paper Series 50, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    6. Ben Hunt, 1995. "Fitting Parsimonious Yield Curve Models to Australian Coupon Bond Data," Working Paper Series 51, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

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