, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …

, cumulatively, due to low bond yields since the onset of the Euro crisis. In order to determine the contribution of the "flight to … quality" to this sum, we define the flight to quality as a factor which has caused German bond yields and crisis country bond …

We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond …, calibrating risk management models in normal times underestimates illiquidity risk and misjudges term structure effects. -- bond …