[1] |
BONGAERTS D, JONG F D, DRIESSEN J. Derivativepricing with liquidity risk: Theory and evidencefrom credit default swap market [J]. Journal of Finance,2011, 66(1): 203-240.
|
[2] |
ACHARYAV V, PEDERSEN L H. Asset pricing withliquidity risk [J]. Journal of Financial Economics,2005, 77(2): 375-410.
|
[3] |
HASBROUCK J. Measuring the information contentof stock trades [J]. Journal of Finance, 1991, 46(1):179-207.
|
[4] |
CAMERON A C, TRIVEDI P K. Microeconometricsmethods and applications [M]. New York: CambridgeUniversity Press, 2005.
|
[5] |
PIRES P, PEREIRA J P, MARTINS L F. The completepicture of credit default swap spreads: A quantileregression approach [EB/OL]. [2010-07-13]. http://papers.ssrn.com/sol3/papers.cfm?abstract id=1125265.
|
[6] |
ACHARYA V V, JOHNSON T C. Insider trading incredit derivatives [J]. Journal of Financial Economics,2007, 84(1): 110-141.
|
[7] |
TANG D Y, YAN H. Liquidity and credit default swapspreads [EB/OL]. (2007-09-04) [2009-01-22]. http://papers.ssrn.com/sol3/papers.cfm?abstract id=891263.
|
[8] |
G?ARLEANU N, PEDERSEN L H, POTESHMANA M. Demand-based option pricing [J].Review of Financial Studies, 2009, 22(10): 4259-4299.
|
[9] |
BOLLEN N P B, WHALEY R E. Does net buyingpressure affect the shape of implied volatility function?[J]. Journal of Finance, 2004, 59(2): 711-753.
|
[10] |
CHORDIA T, ROLL R, SUBRAHMANYAM A. Commonalityin liquidity [J]. Journal of Financial Economics,2000, 56(1): 3-28.
|
[11] |
DUFOUR A, ENGLE R F. Time and the price impactof a trade [J]. Journal of Finance, 2000, 55(6): 2467-2498.
|
[12] |
TANG D Y, YAN H. Does the tail wag the dog? Theprice impact of CDS trading [EB/OL]. [2010-06-30].http: // papers.ssrn.com/sol3/papers.cfm?abstractid=1632976.
|
[13] |
HASBROUCK J, SEPPI D J. Common factors inprices, order flows and liquidity [J]. Journal of FinancialEconomics, 2001, 59(3): 383-411.
|
[14] |
B¨UHLER W, TRAPP M. Credit and liquidity risk inbond and CDS market [EB/OL]. (2007-02-01) [2007-03-03]. http: // papers.ssrn.com / sol3 / papers.cfm?abstract id=967301.
|
[15] |
B¨UHLER W, TRAPP M. Time-varying credit riskand liquidity premia in bond and CDS markets[EB/OL]. [2008-03-07]. http: // papers.ssrn.com / sl3/papers.cfm?abstract id=1101730
|
[16] |
CHEN L H, HAMMOUDEH S, YUAN Y. Asymmetricconvergence in US financial credit default swap sectorindex markets [J]. The Quarterly Review of Economicsand Finance, 2011, 51(4): 408-418.
|
[17] |
BADAOUI S, CATHCART L, EI-JAHEL L. Impliedliquidity risk premium in the term structureof sovereign credit default swap and bond spreads[EB/OL]. [2014-01-05]. http://papers.ssrn.com/sol3/papers.cfm?abstract id=2317966.
|
[18] |
G¨UND¨UZ Y, KAYA O. Impacts of the financial crisison eurozone sovereign CDS spreads [J]. Journal ofInternational Money and Finance, 2014, 49: 425-442.
|