Jacobs Management Center
Buffalo, NY 14222
SUNY at Buffalo - School of Management
in Total Papers Downloads
in Total Papers Citations
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
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: fmii.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
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
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.714 seconds