Delle Chiaie, Simona; Maggi, Bernardo - Dipartimento di Scienze Statistiche, Facoltà di … - 2014
In this paper we analyze the yield difference between two on- and off-the-run similar notes to gauge the liquidity premium. We investigate this issue by relating such a differential to several liquidity indicators that we build and examine -to our knowledge for the first time- throughout the...