...Rintu Anthony; Krishna Prasanna Purpose The study attempts to identify the linkages in the term structure of illiquidity and the impact of global and domestic factors on sovereign bonds in emerging Asia. The objective of the study ensues on defining the direction of illiquidity spillover across...

..., a methodology is implemented to determine the implied default probability and the implied rating, and then to estimate the term structure of the market-implied default probability and the transition matrix of implied rating. The term structure estimation in discrete time is conducted with the Nelson and Siegel...