Robust and Interpretable Liquidity Proxies for Market and Funding Liquidity

Riccardo Rebonato and Hong Sherwin
The Journal of Fixed Income Winter 2021, 30 (3) 67-82; DOI: https://doi.org/10.3905/jfi.2020.1.103

Article Information

vol. 30 no. 3 67-82
DOI 
https://doi.org/10.3905/jfi.2020.1.103
Published By 
Pageant Media Ltd
Print ISSN 
1059-8596
Online ISSN 
2168-8648
History 
  • Published online January 4, 2021.

Article Versions

Copyright & Usage 
© 2020 Pageant Media Ltd

Author Information

  1. Riccardo Rebonato
    1. is a professor at EDHEC Business School and a researcher at EDHEC Risk Institute in London, UK. (riccardo.rebonato{at}edhec.edu)
  2. Hong Sherwin
    1. is a director at the Financial Industry Regulatory Authority in New York, NY. (hong.sherwin{at}finra.org)
  1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
View Full Text
Back to top

Explore our content to discover more relevant research

In this issue

Print
Download PDF
Article Alerts
Email Article
Citation Tools
Save To My Folders
Robust and Interpretable Liquidity Proxies for Market and Funding Liquidity
Riccardo Rebonato, Hong Sherwin
The Journal of Fixed Income Dec 2020, 30 (3) 67-82; DOI: 10.3905/jfi.2020.1.103
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Facebook Like LinkedIn logo

Jump to section

Similar Articles

Cited By...

  • No citing articles found.