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Based on individual CDS transactions cleared by the Depository Trust & Clearing Corporation, we show that illiquidity …
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We develop a model of the illiquidity transmission from spot to futures markets that formalizes the derivative hedge … theory proposed by Cho and Engle (1999). The model shows that spot market illiquidity does not translate one-to-one to the …
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This paper examines the possibility of applying two most popular parametric yield curve models (Nelson-Siegel and Svensson) in the Croatian financial market. In such an illiquid and undeveloped financial market yield curve modeling presents a special challenge primarily regarding the available...
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