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The price of future liquidity : time-varying liquidity in the U.S. treasury market
Goldreich, David; Hanke, Bernd; Nath, Purnendu - In: Review of finance : journal of the European Finance … 9 (2005) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10002866900
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The price of future liquidity : time-varying liquidity in the US treasury market
Goldreich, David; Hanke, Bernd; Nath, Purnendu - 2003
Persistent link: https://www.econbiz.de/10001762187
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The price of future liquidity : time-varying liquidity in the US treasury market
Goldreich, David (contributor); Hanke, Bernd (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001747173
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Estimates of the Continuous Time Cox-Ingersoll-Ross Term Structure Model : Further Results for the UK Gilt-Edged Market
Nath, Purnendu - 2018
Estimates are made of multi-factor versions of the Cox-Ingersoll-Ross model of the term structure of interest rates using the Kalman filter. Estimates are obtained using weekly UK Gilt-edged market data over the period 1982–1997. Empirical results support the need for a multi-factor model and...
Persistent link: https://www.econbiz.de/10012912991