Liquidity effects in the German bond market: findings from the jumbo pfandbriefe segment - Lange, Daniel (Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu, 2010)
Argumenta Oeconomica, 2010, Nr 1 (24), s. 125-148
Keywords: bond market; principal components analysis; affine model; Germany; Kalman filter; liquidity risk; term structure