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Liquidity Prediction in the Corporate Bond Market

Yu, Haiyue - 2023

I perform a comparative analysis of several state-of-the-art machine learning methods for liquidity prediction in the … corporate bond market. I first construct a liquidity measure using the first principal component of 11 liquidity measures, then … build a comprehensive data library of corporate bond characteristics for liquidity prediction. I find that tree models such …

Persistent link: https://www.econbiz.de/10014265335

Liquidity Effect on the Asset Price Forecasting

Merdan, Huseyin - 2016

The effect of the high/low liquidity in the market on the asset price forecasting is studied by deriving a system of … but also the liquidity value. The time evolution of the asset price yielded by bothmodels is compared for an example by …

Persistent link: https://www.econbiz.de/10012994026

Predicting bond betas using macro-finance variables

Aslanidis, Nektarios; Christiansen, Charlotte; … - In: Finance research letters 29 (2019), pp. 193-199

Persistent link: https://www.econbiz.de/10012418702

Current and prospective estimate of counterparty risk through dynamic neural networks

Agnese, Alessio; Giribone, Pier Giuseppe; Querci, Francesca - In: Risk management magazine 17 (2022) 2, pp. 42-61

The estimate of the probability of default plays a central role for any financial entity that wants to have an overview of the risks of insolvency it may incur by having economic relations with counterparties. This study aims to analyze the calculation of such measure in the context of...

Persistent link: https://www.econbiz.de/10013501084

Predicting corporate bond illiquidity via machine learning

Cabrol, Axel; Drobetz, Wolfgang; Otto, Tizian; Puhan, … - In: Financial analysts journal : FAJ 80 (2024) 3, pp. 103-127

Persistent link: https://www.econbiz.de/10015050475

Global bond risk premia under falling stars

Zhang, Yugui; Zhu, Jie; Zhu, Xiaoneng - In: Finance research letters 42 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10014580460

Forecasting default with the Merton distance to default model

Bharath, Sreedhar T.; Shumway, Tyler - In: The review of financial studies 21 (2008) 3, pp. 1339-1369

Persistent link: https://www.econbiz.de/10003742248

Estimation du risque de défaut par une modélisation stochastique du bilan : application à des firmes industrielles françaises

Refait, Catherine - In: Finance : revue de l'Association Française de Finance 21 (2000) 2, pp. 103-129

Persistent link: https://www.econbiz.de/10001559712

Predicting corporate distress in a turbulent economic and regulatory environment

Altman, Edward I. - In: Rassegna economica : rivista internazionale di economia … 68 (2004) 2, pp. 483-524

Persistent link: https://www.econbiz.de/10003418292

Forecasting long-term interest rates with a general-equilibrium model of the Euro area : what role for liquidity services of bonds? : Paolo Zagaglia

Zagaglia, Paolo - In: Asia-Pacific financial markets 20 (2013) 4, pp. 383-430

Persistent link: https://www.econbiz.de/10010345912

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