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Robust and Interpretable Liquidity Proxies for Market and Funding Liquidity

Riccardo Rebonato and Hong Sherwin
The Journal of Fixed Income Winter 2021, jfi.2020.1.103; DOI: https://doi.org/10.3905/jfi.2020.1.103
Riccardo Rebonato
is a professor at EDHEC Business School and a researcher at EDHEC Risk Institute in London, UK
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Hong Sherwin
is a director at the Financial Industry Regulatory Authority in New York, NY
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Article Information

jfi.2020.1.103
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 August 29, 2020.

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  • You are currently viewing a Latest version of this article (August 29, 2020 - 01:18).
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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.
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The Journal of Fixed Income: 32 (3)
The Journal of Fixed Income
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Winter 2023
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Robust and Interpretable Liquidity Proxies for Market and Funding Liquidity
Riccardo Rebonato, Hong Sherwin
The Journal of Fixed Income Aug 2020, jfi.2020.1.103; DOI: 10.3905/jfi.2020.1.103

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Robust and Interpretable Liquidity Proxies for Market and Funding Liquidity
Riccardo Rebonato, Hong Sherwin
The Journal of Fixed Income Aug 2020, jfi.2020.1.103; DOI: 10.3905/jfi.2020.1.103
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  • Article
    • Abstract
    • MARKET AND FUNDING LIQUIDITY
    • CHOICE OF AND JUSTIFICATION FOR THE COMPONENT PROXIES
    • FEATURES OF OUR LIQUIDITY MEASURES
    • INTERPRETATION OF THE LIQUIDITY MEASURES
    • COMPARISON WITH RELATED WORK
    • AN APPLICATION
    • CONCLUSIONS
    • ADDITIONAL READING
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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