Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods?
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More about this item
KeywordsEMU sovereign debt; Market liquidity; Out-of-sample prediction; Predictability of yield spread changes;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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