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The European Journal of Finance Volume 10, 2004 - Issue 6
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Miscellany

Estimating liquidity premia in the Spanish government securities market

Francisco Alonso
,
Roberto Blanco
,
Ana Del Río
&
Alicia Sanchis
Pages 453-474 | Published online: 19 Aug 2006

Citations (7)

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Read on this site (2)

William T. Lin, Shih-Chuan Tsai & David S. Sun. (2011) Price informativeness and predictability: how liquidity can help. Applied Economics 43:17, pages 2199-2217.
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JENIFER PIESSE, NITAWAN ISRASENA & COLIN THIRTLE. (2007) Volatility Transmission in Asian Bond Markets: Tests of Portfolio Diversification. Asia Pacific Business Review 13:4, pages 585-607.
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Articles from other publishers (5)

William T. Lin & David S. Sun. (2012) Liquidity-Adjusted Benchmark Yield Curves: A Look at Trading Concentration and Information. Review of Pacific Basin Financial Markets and Policies 10:04, pages 491-518.
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Antonio Díaz, John J. MerrickJr.Jr. & Eliseo Navarro. (2006) Spanish Treasury bond market liquidity and volatility pre- and post-European Monetary Union. Journal of Banking & Finance 30:4, pages 1309-1332.
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Antonio Diaz & Eliseo Navarro Arribas. (2003) Liquidity Premiums Between Treasury Asset Markets. SSRN Electronic Journal.
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Emma Berenguer, Ricardo Gimeno & Juan M. Nave. (2014) Term Structure Estimation, Liquidity-Induced Heteroskedasticity and the Price of Liquidity Risk. SSRN Electronic Journal.
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Emma Berenguer, Ricardo Gimeno & Juan Miguel Nave. (2011) A Measure of Liquidity Risk in a Sovereign Debt Market. SSRN Electronic Journal.
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