Estimating liquidity premium of corporate bonds using the spread information in on- and off-the-run Treasury securities
Haitao Li, Chunchi Wu, Jian Shi
| Year of publication: |
2017
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|---|---|
| Authors: | Li, Haitao ; Wu, Chunchi ; Shi, Jian |
| Published in: |
China finance review international. - Bingley : Emerald, ISSN 2044-1398, ZDB-ID 2681650-7. - Vol. 7.2017, 2, p. 134-162
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| Subject: | Liquidity premium | Kalman filter | Equivalent martingale measure | On- and off-the-run spreads | Reduced-form model | Theorie | Theory | Unternehmensanleihe | Corporate bond | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Liquidität | Liquidity | Staatspapier | Government securities | CAPM | Schätzung | Estimation | Öffentliche Anleihe | Public bond | Marktliquidität | Market liquidity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/CFRI-11-2016-0125 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011797776