| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10482326 | Physica A: Statistical Mechanics and its Applications | 2005 | 7 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Yusho Kagraoka,