, cumulatively, due to low bond yields since the onset of the Euro crisis. In order to determine the contribution of the "flight to … quality" to this sum, we define the flight to quality as a factor which has caused German bond yields and crisis country bond …

Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for … large investment grade bond trades, relative to before the crisis, and are better for all bond types and trade sizes …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …

This study measures liquidity in the catastrophe (CAT) bond market and the liquidity premium embedded in CAT bond … bond market is 67.57bps, accounting for only 9.42% of the average CAT bond spread (717.37bps) in the secondary market … during the period 2002-2016. The average CAT bond liquidity premium is higher than the corporate bond liquidity premium of a …

We examine the impact of Chinese monetary policies on the excess bond yields of Chinese local bonds issued by Chinese … high degree of existing resource misallocation. Our estimation results confirm that local government bond excess yields can …

We examine the impact of Chinese monetary policies on excess local bond yields (the spreads over Chinese government …

We present a hybrid Heston model with a local stochastic volatility to describe government bond yield dynamics. The … time series investigated. Then, the model describes convergence/divergence phenomena among European government bond yields …

from the fixed coupon-bearing bond prices. It meets the next no-arbitrage condition: the rates of return on zero-coupon and …

In this paper, using a conception of continuous coupon bond with continuous accrual of coupons on simple fixed rate for … pricing a risky zero-coupon bond is considered. It is shown that only employing this conception allows obtaining explicit … equation for price of risky zero-coupon bond from fixed coupon bond prices without any assumption about default process and …