A Unified Approach to Term Structure Estimation: A Methodology for Estimating the Term Structure in a Market with Frictions
作者： Eliezer Z. Prisman
DOI: 10.2307/2330892
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摘要: This paper develops a methodology for term structure estimation from no-arbitrage condition in markets with frictions. The unifies existing procedures, such as the regression and linear programming approaches, substantially broadens class of useful techniques. estimators derived this way are capable reflecting actual market conditions, asymmetry tax treatment long short positions higher financial cost establishing position. is by applying conjugate duality theory mathematical programming.
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