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Joyce, M., Lildholdt, P.M. and Sorensen, S. (2009) Extracting Inflation Expectations and Inflation Risk Premia from the Term Structure: A Joint Model of the UK Nominal and Real Yield Curves. SSRN Electronic Journal.
https://doi.org/10.2139/ssrn.1344283

has been cited by the following article:

• TITLE: Lower and Upper Bounds Estimators for a Real Yield Curve Based on Another Real Yield Curve and Its Break-Even Inflation Rate

  AUTHORS: Rogério F. Porto, Daniel T. Araújo

  KEYWORDS: Term Structure of Real Rates, Inflation-Indexed Bonds, Expected Inflation, Inflation Risk Premium, Liquidity Risk Premium

  JOURNAL NAME: Journal of Mathematical Finance, Vol.16 No.1, February 24, 2026

  ABSTRACT: We present a method to estimate some lower and upper bounds of a real yield curve. Between these bounds lies a region where it is mathematically impossible to contain real yields that satisfy the stated assumptions. This method is based on another real yield curve and a simple economic model of its break-even inflation rate that is split in inflation expectation, convexity term, and liquidity and inflation risk premiums. This formula is specially useful when one of these curves is difficult to obtain but a respective inflation expectation series is available. We illustrate our method with yield curves from Brazil, since it issues sovereign bonds linked to two different inflation indices each.