The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility … spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers … (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility …

We consider eight different measures (issued amount, coupon, listed, age, missingprices, price volatility, number of … contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity …, credit and currencydifferences between bonds. The null hypothesis that liquidity risk is not priced in our dataset of euro …

-implied volatility, dealer funding costs and competition between dealers. Several of these variables are significant, but their … surprises, which suggests that private information does not hinder CDS liquidity. …