Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods?
Harald Kinateder, Benedikt Hofstetter, Niklas Wagner
| Year of publication: |
May 2017
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|---|---|
| Authors: | Kinateder, Harald ; Hofstetter, Benedikt ; Wagner, Niklas F. |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 21.2017, p. 144-150
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| Subject: | EMU sovereign debt | Market liquidity | Out-of-sample prediction | Predictability of yield spread changes | Zinsstruktur | Yield curve | Eurozone | Euro area | Öffentliche Anleihe | Public bond | Liquidität | Liquidity | Prognoseverfahren | Forecasting model | Marktliquidität | Risikoprämie | Risk premium | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2016.11.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011807738