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Yield Spread and Term to Maturity: Default vs. Liquidity

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  • Antonio Díaz
  • Eliseo Navarro

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Suggested Citation

  • Antonio Díaz & Eliseo Navarro, 2002. "Yield Spread and Term to Maturity: Default vs. Liquidity," European Financial Management, European Financial Management Association, vol. 8(4), pages 449-477.
  • Handle: RePEc:bla:eufman:v:8:y:2002:i:4:p:449-477
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    Cited by:

    1. Audzeyeva, Alena & Schenk-Hoppé, Klaus Reiner, 2010. "The role of country, regional and global market risks in the dynamics of Latin American yield spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 404-422, October.
    2. Modena, Matteo & Linciano, Nadia & Gentile, Monica & Fancello, Francesco, 2014. "The liquidity of dual-listed corporate bonds: empirical evidence from Italian markets," MPRA Paper 62479, University Library of Munich, Germany, revised 23 Feb 2015.
    3. Houweling, Patrick & Mentink, Albert & Vorst, Ton, 2005. "Comparing possible proxies of corporate bond liquidity," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1331-1358, June.
    4. repec:eee:finmar:v:33:y:2017:i:c:p:42-74 is not listed on IDEAS
    5. Serafín Frache & Gabriel Katz, 2004. "Estimating a Risky Term Structure of Uruguayan Sovereign Bonds," Documentos de Trabajo (working papers) 0304, Department of Economics - dECON.

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