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Term Structure Estimation, Liquidity-Induced Heteroskedasticity and the Price of Liquidity Risk
16 references·16 citing·43 second hopsampled
Term Structure Estimation, Liquidity-Induced Heteroskedasticity and the Price of Liquidity Risk (2014)Term Structure Estimation, Liquidity-Indu…Envy and Habits: Panel Data Estimates of Interdependent Preferences (2015)Envy and Habits: Panel Data E…Markov-Switching Dynamic Factor Models in Real Time (2012)Markov-Switching Dynamic Fact…Liquidity, Maturity, and the Yields on U.S. Treasury Securities (2012)Liquidity, Maturity, and the …Short-run forecasting of the euro-dollar exchange rate with economic fundamentals (2011)Short-run forecasting of the …The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns (2010)The Term Structure of Bond Ma…The on-the-run liquidity phenomenon (2009)The on-the-run liquidity phen…The U.S. Treasury yield curve: 1961 to the present (2007)The U.S. Treasury yield curve…Tax and Liquidity Effects in Pricing Government Bonds (1998)Tax and Liquidity Effects in …Liquidity, Taxes, and Short-Term Treasury Yields (1994)Liquidity, Taxes, and Short-T…Estimating and Interpreting Forward Interest Rates (1994)Estimating and Interpreting F…Bond Returns, Liquidity, and Missing Data (1992)Bond Returns, Liquidity, and …Liquidity, Maturity, and the Yields on U.S. Treasury Securities (1991)Liquidity, Maturity, and the …Bond Price Data and Bond Market Liquidity (1989)Bond Price Data and Bond Mark…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Term Structure Modeling Using Exponential Splines (1982)Term Structure Modeling Using…Fiscal multipliers in turbulent times: the case of Spain (2015)Fiscal multipliers in turbule…Financial Innovation in Sovereign Borrowing and Public Provision of Liquidity (2015)Financial Innovation in Sover…Employment Protection Legislation and Labor Court Activity in Spain (2015)Employment Protection Legisla…Contract Staggering and Unemployment During the Great Recession: Evidence from Spain (2015)Contract Staggering and Unemp…Third-Country Relations in the Directive Establishing a Framework for the Recovery and Resolution of Credit Institutions (2014)Third-Country Relations in th…The Structure of Sub-National Public Debt: Liquidity vs Credit Risks (2014)The Structure of Sub-National…The Impact of Financial (De)Regulation on Current Account Balances (2014)The Impact of Financial (De)R…Short-Sale Constraints and Financial Stability: Evidence from the Spanish Market (2014)Short-Sale Constraints and Fi…Productivity and Welfare: An Application to the Spanish Banking Industry (2014)Productivity and Welfare: An …Flight-to-Liquidity Flows in the Euro Area Sovereign Debt Crisis (2014)Flight-to-Liquidity Flows in …Entrepreneurship and Enforcement Institutions: Disaggregated Evidence for Spain (2014)Entrepreneurship and Enforcem…Do the Drivers of Loan Dollarisation Differ between CESEE and Latin America? A Meta-Analysis (2014)Do the Drivers of Loan Dollar…Banking Crises and Sovereign Defaults in Emerging Markets: Exploring the Links (2014)Banking Crises and Sovereign …A Toolkit to Strengthen Government Budget Surveillance (2014)A Toolkit to Strengthen Gover…The Distribution of Debt Across Euro Area Countries: The Role of Individual Characteristics, Institutions and Credit Conditions (2013)The Distribution of Debt Acro…Short-Term Forecasting for Empirical Economists. A Survey of the Recently Proposed Algorithms (2013)Short-Term Forecasting for Em…Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Some Empirical Estimates of the Risk Structure of Interest Rates (1989)Measuring Treasury Market Liquidity (2001)Latent liquidity: A new measure of liquidity, with an application to corporate bonds (2008)THE TAX‐ADJUSTED YIELD CURVE (1975)Search and endogenous concentration of liquidity in asset markets (2006)Stock and Bond Market Liquidity: A Long-Run Empirical Analysis (2007)From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’ (2017)Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity (2020)How Markets Process Information: News Releases and Volatility (1993)The Components of Corporate Credit Spreads: Default, Recovery, Taxes, Jumps, Liquidity, and Market Factors (2003)The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market (2005)“Explaining the Rate Spread on Corporate Bonds” (2010)Dealership market (1980)Generalized autoregressive conditional heteroskedasticity (1986)Liquidity and Market Structure (1988)Are green bonds environmentally friendly and good performing assets? (2020)An equilibrium characterization of the term structure (1977)A continuous time approach to the pricing of bonds (1979)Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model (2003)Zero-Coupon Yield Curves: Technical Documentation (2008)The euro area sovereign debt crisis: Identifying flight-to-liquidity and the spillover mechanisms (2013)The Information in Long-Maturity Forward Rates (1987)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)The Econometrics of Financial Markets (2012)Pricing the term structure with linear regressions (2013)Intermediary asset pricing: New evidence from many asset classes (2017)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Interest Rate Pass‐Through and Monetary Transmission: Evidence from Individual Financial Institutions' Retail Rates (2004)Bond Return Predictability: Economic Value and Links to the Macroeconomy (2017)Explaining the Rate Spread on Corporate Bonds (2001)Forecasting the Term Structure of Government Bond Yields (2003)Liquidity shocks and equilibrium liquidity premia (2003)Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? (2003)The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks* (2006)
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References

  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 2007The U.S. Treasury yield curve: 1961 to the present1,337 cited
  • 1982Term Structure Modeling Using Exponential Splines323 cited
  • 1992Bond Returns, Liquidity, and Missing Data289 cited
  • 1994Liquidity, Taxes, and Short-Term Treasury Yields278 cited
  • 1989Bond Price Data and Bond Market Liquidity267 cited
  • 1994Estimating and Interpreting Forward Interest Rates232 cited
  • 1991Liquidity, Maturity, and the Yields on U.S. Treasury Securities230 cited
  • 1998Tax and Liquidity Effects in Pricing Government Bonds192 cited
  • 2010The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns141 cited
  • 2009The on-the-run liquidity phenomenon123 cited
  • 2012Liquidity, Maturity, and the Yields on U.S. Treasury Securities111 cited
  • 2011Short-run forecasting of the euro-dollar exchange rate with economic fundamentals109 cited
  • 2012Markov-Switching Dynamic Factor Models in Real Time99 cited
  • 2015Envy and Habits: Panel Data Estimates of Interdependent Preferences

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Cited by

  • 2015Fiscal multipliers in turbulent times: the case of Spain117 cited
  • 2015Contract Staggering and Unemployment During the Great Recession: Evidence from Spain98 cited
  • 2014Entrepreneurship and Enforcement Institutions: Disaggregated Evidence for Spain70 cited
  • 2014Do the Drivers of Loan Dollarisation Differ between CESEE and Latin America? A Meta-Analysis66 cited
  • 2014The Structure of Sub-National Public Debt: Liquidity vs Credit Risks66 cited
  • 2014A Toolkit to Strengthen Government Budget Surveillance64 cited
  • 2013The Distribution of Debt Across Euro Area Countries: The Role of Individual Characteristics, Institutions and Credit Conditions63 cited
  • 2013Short-Term Forecasting for Empirical Economists. A Survey of the Recently Proposed Algorithms61 cited
  • 2014Banking Crises and Sovereign Defaults in Emerging Markets: Exploring the Links59 cited
  • 2015Employment Protection Legislation and Labor Court Activity in Spain59 cited
  • 2014Flight-to-Liquidity Flows in the Euro Area Sovereign Debt Crisis56 cited
  • 2015Financial Innovation in Sovereign Borrowing and Public Provision of Liquidity52 cited
  • 2014The Impact of Financial (De)Regulation on Current Account Balances51 cited
  • 2014Short-Sale Constraints and Financial Stability: Evidence from the Spanish Market51 cited
  • 2014Productivity and Welfare: An Application to the Spanish Banking Industry45 cited
  • 2014Third-Country Relations in the Directive Establishing a Framework for the Recovery and Resolution of Credit Institutions44 cited