Sarig, Oded and Arthur Warga, "Some Empirical Estimates of the Risk Structure of Interest Rates", Journal of Finance, Vol. 44, No. 5, (December 1989), pp. 1351-1360.
Abstract: This paper investigates the risk structure of interest rates using pure discount bonds. The most striking feature of our estimates of default-risk premia is the resemblance of their time profile to the theoretical time profile obtained by Merton (1974).