Measuring market liquidity in us fixed income markets: a new synthetic indicator
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Díaz, Antonio & Escribano, Ana, 2020. "Measuring the multi-faceted dimension of liquidity in financial markets: A literature review," Research in International Business and Finance, Elsevier, vol. 51(C).
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"Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries,"
Economic Modelling, Elsevier, vol. 93(C), pages 217-229.
- Carmen Broto & Matías Lamas, 2019. "Is market liquidity less resilient after the financial crisis? Evidence for us treasuries," Working Papers 1917, Banco de España;Working Papers Homepage.
- María Isabel Cambón Murcia & José Luis Cano Coello & Jesús González Redondo, 2017. "Measuring liquidity of Spanish debt," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
More about this item
Keywordsmarket liquidity; synthetic index; principal component analysis; US fixed income markets.;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FMK-2016-04-23 (Financial Markets)
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