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

DOI10.1080/02664760802688681OpenAlexW1970232672MaRDI QIDQ5123530FDOQ5123530

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Local Polynomial Variance-Function Estimation
• Generalized likelihood ratio statistics and Wilks phenomenon
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• An equilibrium characterization of the term structure
• The Relationship between Variable Selection and Data Agumentation and a Method for Prediction
• Nonparametric Pricing of Interest Rate Derivative Securities
• Pricing the risks of default
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• Some automated methods of smoothing time-dependent data
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Cited In (3)

• Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market
• Dynamical analysis of corporate bonds based on the yield spread term-quality surface
• Title not available (Why is that?)

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