Modelling and forecasting illiquidity in the US investment grade corporate bond market
Sacerdoti, Michele (A.A. 2022/2023) Modelling and forecasting illiquidity in the US investment grade corporate bond market. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 40. [Master's Degree Thesis]
![[img]](http://tesi.luiss.it/style/images/fileicons/application_pdf.png) |
PDF (Full text)
Restricted to Registered users only Download (1MB) | Request a copy |
Abstract/Index
Market liquidity. Definition and characteristics of market liquidity. Realized Amihud and realized illiquidity. Model specification. Empirical analysis. Modelling the realized Amihud. Forecasting the realized Amihud. Augmented Fama-French factor model. Long/short equity strategy.
References
Bibliografia: pp. 37-38.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Econometric theory |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Carlini, Federico Carlo Eugenio |
| Academic Year: | 2022/2023 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 20 May 2024 14:12 |
| Last Modified: | 20 May 2024 14:12 |
| URI: | https://tesi.luiss.it/id/eprint/38536 |
Downloads
Downloads per month over past year
Repository Staff Only
 |
View Item |
