Liquidity spreads in the corporate bondmarket: estimation using a semi-parametric model

DOI10.1080/02664760802688681MaRDI QIDQ5123530zbMATH OpenOpenAlexFDO

Authors Jung Hsien Chang, Mao-Wei Hung

Publication date 29 September 2020

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664760802688681

zbMATH Keywords

liquidity riskreduced-form modeloff-the-runon-the-runsemi-parameter model

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

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• scientific article; zbMATH DE number 597913 (Why is no real title available?)
• scientific article; zbMATH DE number 2042814 (Why is no real title available?)
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• An equilibrium characterization of the term structure
• Generalized likelihood ratio statistics and Wilks phenomenon
• Local Polynomial Variance-Function Estimation
• Nonparametric Pricing of Interest Rate Derivative Securities
• Pricing the risks of default
• Some automated methods of smoothing time-dependent data
• The Relationship between Variable Selection and Data Agumentation and a Method for Prediction

Cited in

(7)

• Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market
• Research on corporate bond yield based on forward risk-free interest rate
• Dynamical analysis of corporate bonds based on the yield spread term-quality surface
• Discovering the impact of systemic and idiosyncratic risk factors on credit spread of corporate bond within the framework of intelligent knowledge management
• Pricing corporate bonds with credit risk, liquidity risk, and their correlation
• Demystifying yield spread on corporate bonds trades in India
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