We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term structure models. To this end, we construct powerful and model-free empirical meas
In a standard approach to portfolio valuation, it is assumed that a market is perfectly liquid, so assets in the portfolio have unique prices. In practice, however, this does not seem to be true. The
The Liquidity Crisis Benchmark dataset comprises data on companies, characterized by 26 financial variables, with approximately 11% experiencing a liquidity crisis. Some company profiles contain missi