Past cycles of sovereign lending and default in emerging markets suggest that debt crises
will recur at some point. In addressing debt crises it has proven helpful to distinguish …

The work reported in this paper aimed to measure the impact of liquidity on European
Monetary Union (EMU) government bond prices. Although there is a growing theoretical and …

With increasing liquidity of the Indian sovereign debt market since 1997, it has become
possible to estimate the term structure in India. However, the market is characterised by …

Recently, machine-learning algorithms and existing financial data-analysis methods have
been actively studied. Although the term structure of government bonds has been well …

The traditional method of credit spread estimation is based on subtracting independently
estimated risk-free and risky term structures of interest rates which in many cases yields …

This paper aims to compare the fitting performance of term structure estimation for Taiwan
Government Bonds market, which is considered as an illiquid bond market with a low trading …

This paper examines the possibility of applying two most popular parametric yield curve
models (Nelson-Siegel and Svensson) in the Croatian financial market. In such an illiquid …

The article identifies principal reasons underlying the movements of yield curve for
government debt market in India for the period Jul'97 to Dec'11. The study finds that though …

Efficient term structure estimation in emerging markets is difficult not only because of overall
lack of liquidity, but also because of the concentration of liquidity in a few securities. Using …

Prices and yields of UK government zero‐coupon bonds are used to test alternative yield
curve estimation models. Zero‐coupon bonds permit a more pure comparison, as the …