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Measuring a Tax-Specific Term Structure of Interest Rates in the Market for British Government Securities

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  • Schaefer, Stephen M

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  • Schaefer, Stephen M, 1981. "Measuring a Tax-Specific Term Structure of Interest Rates in the Market for British Government Securities," Economic Journal, Royal Economic Society, vol. 91(362), pages 415-438, June.
  • Handle: RePEc:ecj:econjl:v:91:y:1981:i:362:p:415-38
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    Cited by:

    1. Aziz, Andrew R. & Prisman, Eliezer Z., 2000. "After-tax term structures of real interest rates: Inferences from the UK linked and non-linked gilt markets," Journal of Banking & Finance, Elsevier, vol. 24(9), pages 1433-1455, September.
    2. Linton, Oliver & Mammen, Enno & Nielsen, Jans Perch & Tanggaard, Carsten, 2001. "Yield curve estimation by kernel smoothing methods," Journal of Econometrics, Elsevier, vol. 105(1), pages 185-223, November.
    3. Chen, Homing & Hu, Cheng-Feng, 2010. "A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model," European Journal of Operational Research, Elsevier, vol. 204(2), pages 343-354, July.
    4. Huse, Cristian, 2011. "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3240-3252.
    5. Gangadhar Darbha & Sudipta Dutta Roy & Vardhana Pawaskar, 2003. "Term Structure of Interest Rates in India: Issues in Estimation and Pricing," Indian Economic Review, Department of Economics, Delhi School of Economics, vol. 38(1), pages 1-19, January.
    6. 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.
    7. Ubukata, M. & Fukushige, M., 2009. "Estimation and inference in the yield curve model with an instantaneous error term," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2938-2946.
    8. Kanjilal, Kakali, 2013. "Factors causing movements of yield curve in India," Economic Modelling, Elsevier, vol. 31(C), pages 739-751.
    9. Clark, Ephraim & Lakshmi, Geeta, 2004. "Sovereign debt and the cost of migration: India 1990-1992," Journal of Asian Economics, Elsevier, vol. 15(1), pages 111-134, February.
    10. Pham, Toan M., 1998. "Estimation of the term structure of interest rates: an international perspective," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 265-283, September.
    11. Staikouras, Sotiris K., 2006. "Testing the stabilization hypothesis in the UK short-term interest rates: Evidence from a GARCH-X model," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 169-189, May.

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