Bao, Jack; Chen, Jia; Hou, Kewei; Lu, Lei - 2015
investment-grade sub-sample, consistent with credit risk being relatively more important for understanding the yield spread-volatility … volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …