Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany

DOI10.1007/S10479-019-03326-8MaRDI QIDQ2288947zbMATH OpenOpenAlexFDO

Authors Christoph Wegener, Tobias Basse, Philipp Sibbertsen, Duc Khuong Nguyen

Publication date 20 January 2020

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-019-03326-8

zbMATH Keywords

covered bondsfractional cointegrationliquidity risk

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• A test against spurious long memory
• Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
• CUSUM of Squares‐Based Tests for a Change in Persistence
• Exact local Whittle estimation of fractional integration
• EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
• Exact local Whittle estimation of fractionally cointegrated systems
• Fully modified narrow-band least squares estimation of weak fractional cointegration
• Gaussian Semi‐parametric Estimation of Fractional Cointegration
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Limit theory for moderate deviations from a unit root
• Liquidity and interest rates
• Multiple local Whittle estimation in stationary systems
• Statistical analysis of cointegration vectors
• Testing for a break in persistence under long-range dependencies
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market*
• Time-varying cointegration

Cited in

(5)

• Pricing corporate bonds with credit risk, liquidity risk, and their correlation
• An empirical investigation on funding liquidity and market liquidity
• The impact of CoCo bonds on systemic risk considering liquidity risk
• Liquidity-constrained index tracking optimization models
• Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises

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