Estimating Liquidity Premia in the Spanish Government Securities Market
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- Francisco Alonso & Roberto Blanco & Ana del Río & Alicia Sanchís, 2001. "Estimating liquidity premia in the Spanish Government securities market," BIS Papers chapters, in: Bank for International Settlements (ed.), Market liquidity: proceedings of a workshop held at the BIS, volume 2, pages 79-112, Bank for International Settlements.
- Francisco Alonso & Roberto Blanco & Ana Del Rio & Alicia Sanchis, 2004. "Estimating liquidity premia in the Spanish government securities market," The European Journal of Finance, Taylor & Francis Journals, vol. 10(6), pages 453-474.
References listed on IDEAS
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Cited by:
- Simona Delle Chiaie & Bernardo Maggi, 2014. "Italian Government debt liquidity, is it of value?," DSS Empirical Economics and Econometrics Working Papers Series 2014/3, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Coluzzi, Chiara & Ginebri, Sergio & Turco, Manuel, 2008. "Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market," Economics & Statistics Discussion Papers esdp08044, University of Molise, Department of Economics.
- William Lin & Shih-Chuan Tsai & David Sun, 2011.
"Price informativeness and predictability: how liquidity can help,"
Applied Economics, Taylor & Francis Journals, vol. 43(17), pages 2199-2217.
- Lin, William & Tsai, Shih-Chuan & Sun, David, 2008. "Price informativeness and predictability: how liquidity can help," MPRA Paper 20226, University Library of Munich, Germany, revised 18 Oct 2009.
- William T. Lin & David S. Sun, 2007.
"Liquidity-Adjusted Benchmark Yield Curves: A Look at Trading Concentration and Information,"
Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 10(04), pages 491-518.
- Lin, William & Sun, David, 2007. "Liquidity-adjusted benchmark yield curves: a look at trading concentration and information," MPRA Paper 37282, University Library of Munich, Germany.
- Caio Ibsen Rodrigues De Almeida & Antonio Marcos Duarte & Cristiano Augusto Coelho Fernandes, 2003. "A Generalization Of Principal Component Analysis For Non-Observable Term Structures In Emerging Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(08), pages 885-903.
- Diaz, Antonio & Merrick, John Jr. & Navarro, Eliseo, 2006. "Spanish Treasury bond market liquidity and volatility pre- and post-European Monetary Union," Journal of Banking & Finance, Elsevier, vol. 30(4), pages 1309-1332, April.
- Emma Berenguer & Ricardo Gimeno & Juan M. Nave, 2013. "Term structure estimation, liquidity-induced heteroskedasticity and the price of liquidity risk," Working Papers 1308, Banco de España.
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More about this item
Keywords
liquidity; pricing; bonds;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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