References

• 2003Liquidity Risk and Expected Stock Returns5,362 cited
• 2008Market Liquidity and Funding Liquidity5,007 cited
• 2005Asset pricing with liquidity risk2,816 cited
• 2001The Determinants of Credit Spread Changes2,253 cited
• 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
• 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
• 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
• 2011How Sovereign Is Sovereign Credit Risk?1,129 cited
• 2012How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?1,000 cited
• 2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads805 cited
• 2008Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market706 cited
• 2003Yield spreads on EMU government bonds580 cited
• 2004Is Default Event Risk Priced in Corporate Bonds?566 cited
• 2006An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market540 cited
• 2007Measuring Default Risk Premia from Default Swap Rates and EDFs416 cited