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Y2K options and the liquidity premium in Treasury bond markets. (2006). Wang, Zhenyu ; Sundaresan, Suresh.
In: Staff Reports.
RePEc:fip:fednsr:266.

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Cited: 6

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Cites: 16

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Cocites: 50

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  1. The effect of the Term Auction Facility on the London inter-bank offered rate. (2015). Wang, Zhenyu ; Sarkar, Asani ; McAndrews, James.
    In: Staff Reports.
    RePEc:fip:fednsr:335.

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  2. The on-the-run liquidity phenomenon. (2009). Pasquariello, Paolo ; Vega, Clara .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:92:y:2009:i:1:p:1-24.

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  3. The Aggregate Demand for Treasury Debt. (2008). Vissing-Jorgensen, Annette ; Krishnamurthy, Arvind.
    In: 2008 Meeting Papers.
    RePEc:red:sed008:713.

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  4. Market Liquidity, Asset Prices and Welfare. (2008). Huang, Jennifer ; Wang, Jiang.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14058.

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  5. Decomposing swap spreads. (2008). Lando, David ; Feldhutter, Peter.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:88:y:2008:i:2:p:375-405.

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  6. The Demand for Treasury Debt. (2007). Vissing-Jorgensen, Annette ; Krishnamurthy, Arvind.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12881.

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References

References cited by this document

  1. Buraschi, Andrea, and Menini, David, 2002, Liquidity Risk and Specialness, Journal of Financial Economics, 64, 243-84.

  2. Cortes, Fabio, 2003, Understanding and Modeling Swap Spreads, Bank of England Quarterly Bulletin, Winter Issue.
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    Paper not yet in RePEc: Add citation now
  11. Longstaff, Francis, 2001, The Term Structure of Very Short-term rates: New Evidence for the Expectations Hypothesis, Journal of Financial Economics, 58, 297-415.
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  12. Musto, David K, 1997, Portfolio Disclosures and Year-End Price Shifts, Journal of Finance, Volume: 52 Issue: 4, 1563 - 1588.

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  15. White, H., 1980, A Heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica, 48, 817-838.

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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.