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Bond pricing with a surface of zero coupon yields

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Murik, Vijay

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We present a new method for consistent cross-sectional pricing of all traded bonds in the fixed income market. By applying thin plate regression splines (Wood, 2003) to bootstrapped zero coupon bond yields (Hagan and West, 2006), the method decomposes tra

dc.contributor.authorMurik, Vijay
dc.date.accessioned2015-12-13T22:28:53Z
dc.identifier.issn0810-5391
dc.identifier.urihttp://hdl.handle.net/1885/74419
dc.description.abstractWe present a new method for consistent cross-sectional pricing of all traded bonds in the fixed income market. By applying thin plate regression splines (Wood, 2003) to bootstrapped zero coupon bond yields (Hagan and West, 2006), the method decomposes tra
dc.publisherBlackwell Publishing Ltd
dc.sourceAccounting and Finance
dc.subjectKeywords: Credit premia; E43; G12; Liquidity premia; Thin plate regression spline; Zero coupon yield curve estimation
dc.titleBond pricing with a surface of zero coupon yields
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume53
dc.date.issued2013
local.identifier.absfor150100 - ACCOUNTING, AUDITING AND ACCOUNTABILITY
local.identifier.ariespublicationf5625xPUB4114
local.type.statusPublished Version
local.contributor.affiliationMurik, Vijay, College of Business and Economics, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.issue2
local.bibliographicCitation.startpage497
local.bibliographicCitation.lastpage512
local.identifier.doi10.1111/j.1467-629X.2012.00479.x
dc.date.updated2016-02-24T09:21:34Z
local.identifier.scopusID2-s2.0-84877635741
CollectionsANU Research Publications

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