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Modelling the Yields on Australian Coupon Paying Bonds

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    File URL: http://www.finance.uts.edu.au/research/wpapers/wp50.pdf
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    Paper provided by Finance Discipline Group, UTS Business School, University of Technology, Sydney in its series Working Paper Series with number 50.

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    Length: 17 pages
    Date of creation: 01 Sep 1995
    Date of revision:
    Handle: RePEc:uts:wpaper:50

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    Postal: PO Box 123, Broadway, NSW 2007, Australia
    Phone: +61 2 9514 7777
    Fax: +61 2 9514 7711
    Web page: http://www.uts.edu.au/about/uts-business-school/finance
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    1. McCulloch, J Huston, 1975. "The Tax-Adjusted Yield Curve," Journal of Finance, American Finance Association, vol. 30(3), pages 811-30, June.
    2. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-89, October.
    3. Vasicek, Oldrich A & Fong, H Gifford, 1982. " Term Structure Modeling Using Exponential Splines," Journal of Finance, American Finance Association, vol. 37(2), pages 339-48, May.
    4. McCulloch, J Huston, 1971. "Measuring the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 44(1), pages 19-31, January.
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    Cited by:
    1. Ben Hunt & Chris Terry, 1998. "Zero-Coupon Yield Curve Estimation: A Principal Component, Polynomial Approach," Working Paper Series 81, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    2. Juan Camilo Santana, 2008. "La curva de rendimientos: una revisión metodológica y nuevas aproximaciones de estimación," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID.

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