This paper studies the determinants of trading volume and liquidity of corporate bonds. Using transactions data from a comprehensive dataset of insurance company trades, our analysis covers more than 17,000 US corporate bonds of 4,151 companies over a five year period. The availability of...

This paper finds strong evidence of predictability in Brady bonds, the most liquid emerging debt market, by implementing a new model for credit spreads. Predictability is economically and statistically significant and robust to various considerations. Active management provides US investors in...

Financial models for asset and derivatives pricing, risk management, portfolio optimization, and asset allocation rely on volatility forecasts. Time-varying volatility models, such as GARCH and Stochastic Volatility (SVOL), have been successful in improving forecasts over constant volatility...

This paper finds strong evidence of predictability in Brady bonds, the most liquid emerging debt market, by implementing a new model for credit spreads. Predictability is economically and statistically significant and robust to various considerations. Active management provides US investors in...

This paper proposes a high dimensional factor multivariate stochastic volatility (MSV) model in which factor covariance matrices are driven by Wishart random processes. The framework allows for unrestricted specification of intertemporal sensitivities, which can capture the persistence in...