Since the seminal paper of Vasicek and Fong (1982), the term structures of interest rates have been fitted assuming that yields are cross-sectionally homoskedastic. We show that this assumption does not hold when there are differences in liquidity, even for bonds of the same issuer. Lower...

In macroeconomics and finance, it is extremely useful to have knowledge of the Term Structure of Interest Rates (TSIR) and to be able to interpret the related data. However, independently of its latest particular application, the TSIR is not observable directly in the market and a previous...

The term structure of interest rates is a key instrument for financial research. It provides relevant information for pricing deterministic financial cash flows, it measures economic market expectations and it is extremely useful when assessing the effectiveness of monetary policy decisions....

The termstructure of interest rates is an instrument that gives us the necessary information for valueing deterministic financial cash flows, measuring the economic market expectations and testing the effectiveness of monetary policy decissions. However, it is not directly observable and needs...

The term structure of interest rates is an instrument that gives us the necessary information for valuing deterministic financial cash flows, measuring the economic market expectations and testing the effectiveness of monetary policy decisions. However, it is not directly observable and needs to...

Since the seminal paper of Vasicek and Fong (1982), the term structures of interest rates have been fitted assuming that yields are cross-sectionally homoskedastic. We show that this assumption does not hold when there are differences in liquidity, even for bonds of the same issuer. Lower...