PT - JOURNAL ARTICLE AU - Antonio Díaz AU - Frank S. Skinner TI - Estimating Corporate Yield Curves AID - 10.3905/jfi.2001.319300 DP - 2001 Sep 30 TA - The Journal of Fixed Income PG - 95--103 VI - 11 IP - 2 4099 - https://pm-research.com/content/11/2/95.short 4100 - https://pm-research.com/content/11/2/95.full AB - Tests of arbitrage-free pricing models show that we can expect less reliable corporate yield curve estimates than Treasury yield curve estimates. An examination of the structure of errors produced by common statistical yield curve models indicates that even with careful data selection, significant liquidity and tax-induced errors remain. It is a welcome result that the extent of the errors due to liquidity and tax effects is modest. Moreover, pooling bonds by broad rating category produces no significant deterioration in yield curve estimates.