How has sovereign bond market liquidity changed? An illiquidity spillover analysis
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- Buis, Boyd & Pieterse-Bloem, Mary & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2020. "Expected issuance fees and market liquidity," Journal of Financial Markets, Elsevier, vol. 48(C).
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Keywords
liquidity; jump detection; Hawkes processes; government bonds; MTS bond market; Quantitative Easing;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2016-11-06 (European Economics)
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