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

DOI10.1007/S10679-005-2986-XzbMATH Open1125.91324OpenAlexW3124283424MaRDI QIDQ3374839FDOQ3374839

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

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Mathematics Subject Classification ID

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

Cited In (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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