liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it allows to disentangle … and compare the liquidity premium earned by the protection buyer and the protection seller. In contrast to other studies …, our model is structurally much simpler, while it also allows for correlation between liquidity and default premia, as …

Using the liquidity-adjusted CAPM (LCAPM) model, we estimate three time-varying illiquidity risks based on the DCC … emerging markets. Finally, we explore the ability of business cycles, liquidity funding constraints, and the monetary policy … supported in developed markets, and the liquidity funding constraints more in emerging markets …