This article derives a group of key-maturity zero-coupon yields (or spot rates) for the Chinese inter-bank Treasuries market by use of unsmoothed Fama-Bliss bootstrapping method. With the results of summary statistics and principal component analysis, we surprisingly find there are wide...

A new method for computing the standard errors of returns-based risk and performance estimators for serially correlated returns is developed. The method uses the fact that any such estimator can be represented as the sum of returns that are transformed using the estimator's influence function,...