Groba, Jonatan; Lafuente, Juan Ángel; Serrano, Pedro - Departamento de Economía de la Empresa, Universidad … - 2014
This article analyzes the role of liquidity in the sovereign credit default swap (CDS) market. We employ a continuous-time specification to incorporate illiquidity as an additional pricing factor of default swap contracts for the most developed economies. The illiquidity discount process is...