Jacobs Management Center
Buffalo, NY 14222
SUNY at Buffalo - School of Management
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Callable bond, reduced-form
Information risk, Liquidity risk, PIN, asset pricing, order imbalance
liqudity, default, taxes, yields, maturity, municipal bonds
Fixed income, structural model, corporate bonds
Price discovery, asymmetric information, liquidity provision, variance decomposition, after-hours trading
Volume, volatility, latent variable
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Systemic Credit Risk, State Fiscal Problems, Macroeconomic Fundamentals, Economic Beta, Credit Spread Comovement, Kalman Filter
trends; moving averages; cross-sectional predictability; corporate bond returns; momentum strategies
Informed trading, microstructure of emerging markets, Russian Federation debt, bond spreads, Brock-Dechert-Scheinkman (BDS), Stock-Watson and Chow tests
Price volatility, market friction, informed trading, tick size, sovereign bonds
Time duration, Volatility-volume dynamics, Informed trading, Bid-ask spreads
Default risk, bond pricing, duration, term structure
Decimalization, volatility components, microstructure
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