Search
Now showing items 1-3 of 3
Liquidity, taxes and yield spreads between tax-exempt and taxable bonds
(2016)
This paper proposes a dynamic pricing model for municipal bonds with the liquidity factor and time-varying risk premiums. I estimate the parameters of the model using the Kalman filter. I find that the estimate of the ...
Liquidity, taxes and yield spreads between tax-exempt and taxable bonds
(2016)
This paper proposes a dynamic pricing model for municipal bonds with the liquidity factor and time-varying risk premiums. I estimate the parameters of the model using the Kalman filter. I find that the estimate of the ...
Liquidity, taxes and yield spreads between tax-exempt and taxable bonds
(2016)
This paper proposes a dynamic pricing model for municipal bonds with the liquidity factor and time-varying risk premiums. I estimate the parameters of the model using the Kalman filter. I find that the estimate of the ...