Corporate bond liquidity and matrix pricing

Yusho Kagraoka

Physica A: Statistical Mechanics and its Applications, 2005, vol. 355, issue 1, 158-164

Abstract: Matrix priced bond price data are investigated to model the liquidity of a corporate bond. Preliminary study shows that the yield spread is wide when a yield history records jumps. As well as respecting the way how matrix prices are generated, this finding leads us to a conjecture that time series of yield is represented by a jump-diffusion process. Then the kurtosis of a yield distribution can be regarded as a proxy variable for the liquidity. The conjecture is empirically validiated by regression analysis of yield spreads.

Keywords: Liquidity; Corporate bond; Yield spread (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437105002888
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:355:y:2005:i:1:p:158-164

DOI: 10.1016/j.physa.2005.02.080

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().