TERM STRUCTURE ESTIMATION IN ILLIQUID MARKETS - Government debt markets in the developing economics are generally less liquid than in developed ones. There are many fewer liquid on the run securities. Yield curve estimation must therefore include illiquid securities in the data set. Pooling liquid and illiquid securities to estimate the term structure leads to errors in the estimation methodology. ...
| Year of publication: |
2001
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| Authors: | Subramanian, K.V. |
| Published in: |
The journal of fixed income. - New York, NY : Inst. Investor, Inc., ISSN 1059-8596, ZDB-ID 11161036. - Vol. 11.2001, 1, p. 77
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