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Asymmetry in Liquidity Pricing in the Cross-Section and Time Series of Corporate Bond Returns

Dienemann, Fabian - 2020

downside liquidity for corporate bonds. While the evidence of illiquidity on risk premium in the cross-section of corporate … bonds is mixed, the aggregate liquidity asymmetry has a high explanatory power for the time series of market returns. It is … statistically and economically more significant than the innovation in traditional roundtrip liquidity costs. Some evidence suggests …

Persistent link: https://www.econbiz.de/10012835834

A Markov-switching multifractal inter-trade duration model, with application to US equities

Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342

Persistent link: https://www.econbiz.de/10010255140

Predicting liquidity of BSE by using ARIMA model

Jaiswal, Isha - In: Journal of commerce & business studies 2 (2015) 1, pp. 69-77

Persistent link: https://www.econbiz.de/10011492652

The discretization filter : a simple way to estimate nonlinear state space models

Farmer, Leland E. - In: Quantitative economics : QE ; journal of the … 12 (2021) 1, pp. 41-76

Existing methods for estimating nonlinear dynamic models are either highly computationally costly or rely on local approximations which often fail adequately to capture the nonlinear features of interest. I develop a new method, the discretization filter, for approximating the likelihood of...

Persistent link: https://www.econbiz.de/10012432773

Uusing the symmetric models garch (1.1) and garch-m (1.1) to investigate volatility and persistence for the european and us financial markets

Duță, Violeta - In: Financial studies 22 (2018) 1, pp. 64-86

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily frequency for European and US financial markets. In the study we included fourteen stock indices (twelve Europeans and two Americans), during March 2013 - January 2017. The results...

Persistent link: https://www.econbiz.de/10011964941