This paper is about market liquidity risk premia in Eurozone sovereign bond spreads between 2008 and 2015. By calibrating an arbitrage-free reduced form model to the cash- and derivatives markets of each member state, we disentangle credit and market liquidity spread components in government...

Asymmetric volatility in equity markets has been widely documented in finance, where two competing explanations, as considered in Bekaert and Wu (2000), are the financial leverage and the volatility feedback hypothesis. We explicitly test for the role of both hypotheses in explaining extreme...