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Multimarket trading and corporate bond liquidity

✍ Scribed by Lubomir Petrasek

Book ID
116616057
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
292 KB
Volume
36
Category
Article
ISSN
0378-4266

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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