Eliezer Z. Prisman, A Unified Approach to Term Structure Estimation: A Methodology for Estimating the Term Structure in a Market with Frictions, The Journal of Financial and Quantitative Analysis, Vol. 25, No. 1 (Mar., 1990), pp. 127-142

This paper derives a new and intuitive estimation procedure for the term structure under potential tax arbitrage. No a priori assumptions regarding the equality of the prices and present values of bonds are made. The data are employed to determine whether this equality holds, and an appropriate estimator is thereby endogenously derived. The suggested estimator is based on the optimizing behavior of an investor in a market with frictions, and emerges directly from the solution of the dual of the no-arbitrage optimization problem. In addition, the proposed estimator benefits from being both theoretically sound and straightforward to apply.

Jaime Cuevas Dermody, Eliezer Z. Prisman, No Arbitrage and Valuation in Markets with Realistic Transaction Costs, The Journal of Financial and Quantitative Analysis, Vol. 28, No. 1 (Mar., 1993), pp. 65-80

Eliezer Z. Prisman, Yisong Tian, Immunization in Markets with Tax-Clientele Effects: Evidence from the Canadian Market, The Journal of Financial and Quantitative Analysis, Vol. 29, No. 2 (Jun., 1994), pp. 301-321