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Corporate Yield Spreads and Bond Liquidity

โœ Scribed by LONG CHEN; DAVID A. LESMOND; JASON WEI


Book ID
109176363
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
157 KB
Volume
62
Category
Article
ISSN
0022-1082

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Corporate bond liquidity and matrix pric
โœ Yusho Kagraoka ๐Ÿ“‚ Article ๐Ÿ“… 2005 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 186 KB

Matrix priced bond price data are investigated to model the liquidity of a corporate bond. Preliminary study shows that the yield spread is wide when a yield history records jumps. As well as respecting the way how matrix prices are generated, this finding leads us to a conjecture that time series o