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Market Liquidity Risk Premia in Eurozone Government Bonds' Yield Spreads
Kahlert, Dennis - 2017
This paper is about market liquidity risk premia in Eurozone sovereign bond spreads between 2008 and 2015. By … and market liquidity spread components in government bonds and investigate their dynamics across the Euro Area. Short … analysis to the liquidity driven bond/CDS basis to examine the proportion of systematic and idiosyncratic determinants of …
Persistent link: https://www.econbiz.de/10012969408
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Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets
Chaboud, Alain; Chiquoine, Ben; Hjalmarsson, Erik; … - 2013
frequencies for FX and bond returns likely reflects the superior depth and liquidity of these markets …
Persistent link: https://www.econbiz.de/10014218882
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Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets
Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - 2021
superior depth and liquidity of trading in FX and government bond markets contributes importantly to this difference …
Persistent link: https://www.econbiz.de/10014087975
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The impacts of liquidity measures and credit rating on corporate bond yield spreads : evidence from China's green bond market
Chang, Kai; Feng, Yan Ling; Liu, Wang; Lu, Ning; Li, … - In: Applied economics letters 28 (2021) 17, pp. 1446-1457
Persistent link: https://www.econbiz.de/10012626592
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Yield curve construction : a note on the Moldovan bond market
Speian, Olesea; Ganea, Victoria; Kyriakopoulos, Constantinos - In: Bulletin of applied economics 9 (2022) 1, pp. 137-146
Persistent link: https://www.econbiz.de/10013407309
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J-liquidity measure: the term structure of the liquidity premium and the decomposition of the municipal bond spread
Hattori, Takahiro - 2017 - This version 2017/3
Persistent link: https://www.econbiz.de/10013272790
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How much can illiquidity affect corporate debt yield spread?
Abudy, Menachem; Raviv, Alon - In: Journal of financial stability 25 (2016), pp. 58-69
Persistent link: https://www.econbiz.de/10011704784
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The influence of profitability and liquidity to bond rating and the impact on the bond yield
Dewi, Mayang Saraswaty; Utami, Eristy Minda - 2020
Persistent link: https://www.econbiz.de/10012266485
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The interdependence of FX and Treasury Bonds markets: the case of Colombia
Rincón-Torres, Andrey Duván; Rojas-Silva, Kimberly; … - 2021
Persistent link: https://www.econbiz.de/10012805578
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A High-Frequency Analysis of Return and Volatility Spillovers in the European Sovereign Bond Market
O'Sullivan, Conall; Papavassiliou, Vassilios G. - 2021
Using high-frequency data from the MTS trading platform, we examine return and volatility spillover effects across different maturities in the European sovereign bond market over tranquil and crisis periods. The longer-term benchmark securities of core countries are the largest net volatility...
Persistent link: https://www.econbiz.de/10013234138