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Keywords: On- and off-the-run spreads
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Journal Articles
Estimating liquidity premium of corporate bonds using the spread information in on- and off-the-run Treasury securities
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2017) 7 (2): 134–162.
Published: 15 May 2017
... premium Kalman filter Equivalent martingale measure On- and off-the-run spreads Reduced-form model G01 G1 Liquidity has been thought to be an important factor affecting bond pricing. However, measuring and tracking the liquidity effect on corporate bond pricing remains an elusive task...
