Kagraoka, Yusho - In: Physica A: Statistical Mechanics and its Applications 355 (2005) 1, pp. 158-164
Matrix priced bond price data are investigated to model the liquidity of a corporate bond. Preliminary study shows that the yield spread is wide when a yield history records jumps. As well as respecting the way how matrix prices are generated, this finding leads us to a conjecture that time...