Gauging Liquidity Risk in Emerging Market Bond Index Funds
Date
2016Dewey
Organisation et finances d'entrepriseSujet
Emerging Markets; Sovereign Debt Market; Liquidity Risk Management; Dynamic Correlation; Regime Switching Models Index funds; Bond markets; Liquidity; Liquidity risk; Economic statistics; Correlations; Portfolio diversification; Investment risk; LiquidsJEL code
G.G1.G15; G.G1.G12; G.G0.G01; C.C3.C32; C.C0.C01Journal issue
Annals of Economics and StatisticsVolume
123/124Publication date
12-2016Article pages
p. 247-269Collections
Metadata
Show full item recordAuthor
Darolles, Serge
1032 Dauphine Recherches en Management [DRM]
Dudek, Jérémy
Le Fol, Gaëlle
1032 Dauphine Recherches en Management [DRM]