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## S D and Pawaskar V, “Idiosyncratic Factors in Pricing Sovereign Bonds: An Analysis of the Government

Venue: | of India Bond Market”, 2002, Working Paper, National Stock Exchange |

Citations: | 2 - 1 self |

### Citations

818 |
Parsimonious modeling of yield curves,
- Nelson, Siegel
- 1987
(Show Context)
Citation Context ...pirical estimation of the term structure requires specifying a parametric relation between maturity and spot interest rates. Darbha, Dutta Roy and Pawaskar (2000) adopt the Nelson-Siegel formulation (=-=Nelson and Siegel 1987-=-) for the derivation of such a relation.’ Starting from a parsimonious representation of the forward rate function given by where em’ denotes maturity and b = [r3o, r3¡, r32and or] are parameters to b... |

208 |
Estimating and Interpreting Forward Interest Rates:
- Svensson
- 1994
(Show Context)
Citation Context ... term e,, which gives the estimable relation; The parameters b = [~30, P,, P2 and T] are estimated by minimising the sum of squared price errors. Earlier empirical studies (Bolder and Streliski 1999; =-=Svensson 1994-=-) have found that minimising price errors results in fairly large errors in yield to maturity (YTM) for instruments with short maturities. This is on account of the fact that since the elasticity of p... |

116 |
Measuring the Term Structure of Interest Rates,”
- McCulloch
- 1971
(Show Context)
Citation Context ...f age to original maturity as an explanatory variable to capture a similar effect.sat PENNSYLVANIA STATE UNIV on September 16, 2016emf.sagepub.comDownloaded froms177 income relative to capital gains (=-=McCulloch 1971-=-, 1975). In the Indian context, where the performance of investment managers is judged on the basis of the appreciation/depreciation of portfolios, the differential tax aspect is relatively less impor... |

93 | Liquidity, taxes, and short-term treasury yields. - Kamara - 1994 |

71 | Liquidity, maturity, and the yields on U.S. treasury securities. - Amihud, Mendelson - 1991 |

66 | Bond price data and bond market liquidity. - Sarig, Warga - 1989 |

60 | Tax and Liquidity Effects in Pricing Government Bonds, - J, Green - 1998 |

9 | Coupon Effects and the Pricing of Japanese Government Bonds: An Empirical Analysis’, Journal of Fixed Income - Eom, Subrahmanyam, et al. - 1998 |

9 |
Term Structure Estimation in Illiquid Markets.
- Subramanian
- 2001
(Show Context)
Citation Context ...in the month. Over January-December 2000, the mean ranges between 12 to 20 paise (1 paise is one-hundreth of a rupee). These are comparable to those obtained by earlier studies in the Indian context (=-=Subramanian 2001-=-; TS 2000) but are higher than those reported for the US (Bliss 1997) and Japan (ESU 1998), which is probably indicative of the importance of non-present value factors such as liquidity in the Indian ... |

6 |
Yield Curve Modelling at the
- Bolder, Streliski
- 1999
(Show Context)
Citation Context ...lving valuation by an error term e,, which gives the estimable relation; The parameters b = [~30, P,, P2 and T] are estimated by minimising the sum of squared price errors. Earlier empirical studies (=-=Bolder and Streliski 1999-=-; Svensson 1994) have found that minimising price errors results in fairly large errors in yield to maturity (YTM) for instruments with short maturities. This is on account of the fact that since the ... |

3 | Estimating the Benchmark Yield Curve: A New Approach Using Stochastic Frontier Functions - Darbha - 2002 |

3 | UNIV on September 16, 2016emf.sagepub.comDownloaded from Diaz, Antonio and Frank S. Skinner (2001), ’Estimating Corporate Yield Curves - STATE |

1 | The Tax Adjusted Yield Curve - &mdash |

1 |
Constrained Optimisation-Application Module
- Schoenberg
- 1998
(Show Context)
Citation Context ...s approach also implies that standard statistical inference with regard to the parameter vector (b) may be weak. The estimation is carried out using the constrained optimisation (CO) module in GAUSS (=-=Schoenberg 1998-=-). The long-term and shortterm rates are constrained to be non-negative, and so also the parameter t. To the extent these constraints restrict the search procedure of the optimisation algorithm within... |