Similar Search Results

Estimating liquidity premium of corporate bonds using the spread information in on- and off-the-run Treasury securities

Li, Haitao; Wu, Chunchi; Shi, Jian - In: China finance review international 7 (2017) 2, pp. 134-162

Persistent link: https://www.econbiz.de/10011797776

The impact of sovereign risk on bond duration : evidence from Asian sovereign bond markets

Lee, Hei Wei; Xie, Yan Alice; Yau, Jot - In: International review of economics & finance : IREF 20 (2011) 3, pp. 441-451

Persistent link: https://www.econbiz.de/10009304045

Managing risk in sovereign bond portfolios : the impact of sovereign and call risks on duration

Xie, Yan Alice; Yau, Jot; Lee, Hei Wei - In: International financial markets, (pp. 109-124). 2013

Persistent link: https://www.econbiz.de/10010204759

Sovereign risk and its changing effects on bond duration during financial crisis

Lee, Hei Wei; Xie, Yan Alice; Yau, Jot - In: Applied financial economics 24 (2014) 22/24, pp. 1465-1477

Persistent link: https://www.econbiz.de/10010460096

Counterparty credit risk in the municipal bond market

Chung, San-Lin; Kao, Chen-Wei; Wu, Chunchi; Yeh, Chung-Ying - In: The journal of fixed income 25 (2015) 1, pp. 7-33

Persistent link: https://www.econbiz.de/10011399821

A re-examination of the impact of credit ratings and economic factors on state bond yields

Kao, Chihwa - In: Review of quantitative finance and accounting 4 (1994) 1, pp. 59-78

Persistent link: https://www.econbiz.de/10001166092

The role of duration and trades in the information assimilation process of the US treasury market

Chen, Peter Huaiyu; Man, Kasing; Wang, Junbo; Wu, Chunchi - In: Advances in Pacific Basin business, economics, and finance 7 (2019), pp. 155-200

Persistent link: https://www.econbiz.de/10012582266

Repo counterparty risk and on-/off-the-run treasury spreads

Liu, Sheen; Wu, Chunchi - In: Review of asset pricing studies 7 (2017) 1, pp. 81-143

Persistent link: https://www.econbiz.de/10011734554

Iterated Combination Forecast and Treasury Bond Predictability

Lin, Hai - 2018

Using a large number of predictors and based on an extended iterated combination approach of Lin, Wu, and Zhou (2017), we document both statistical and economic significance of Treasury bond return predictability. Macroeconomic and aggregate liquidity variables contain predictive information for...

Persistent link: https://www.econbiz.de/10012913992