The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market*

DOI10.1007/S10679-005-2986-XMaRDI QIDQ3374839zbMATH OpenOpenAlexFDO

Authors David Goldreich, Bernd Hanke, Purnendu Nath

Publication date 23 February 2006

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10679-005-2986-x

Mathematics Subject Classification ID

Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

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(5)

• Yield curves from different bond data sets
• A model of the convenience yields in on-the-run treasuries
• Pricing equity-bond covariance risk: between flight-to-quality and fear-of-missing-out
• Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany
• Liquidity and volatility in the U.S. Treasury market

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