Francis A. Longstaff
- The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices
2004/07/01 by Francis A. Longstaff · 7 citations
Economics, Econometrics and Finance · #Banking stability, regulation, efficiency #Bond #Credit Risk and Financial Regulations #Economics #Finance #Financial Markets and Investment Strategies #Financial system #Geography #Liquidity premium #Liquidity risk #Market liquidity #Monetary economics #Treasury
- An Empirical Comparison of Alternative Models of the Short‐Term Interest Rate
1992/07/01 by K.C. Chan, George Andrew Karolyi, Francis A. Longstaff +1 · 2 citations
Economics, Econometrics and Finance · Social Sciences · #Stochastic processes and financial applications #Insurance, Mortality, Demography, Risk Management #Insurance and Financial Risk Management #Interest rate #Rendleman–Bartter model #Term (time) #Econometrics #Yield curve #Short rate #Volatility (finance) #Short-rate model #Interest rate derivative #Vasicek model #Economics #Macroeconomics
- Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market
2004/04/01 by FRANCIS A. LONGSTAFF, Francis A. Longstaff, Sanjay Mithal +3 · 2 citations
Business, Management and Accounting · Economics, Econometrics and Finance · #Actuarial science #Banking stability, regulation, efficiency #Bond #Business #Corporate bond #Credit Risk and Financial Regulations #Credit default swap #Credit default swap index #Credit derivative #Credit rating #Credit reference #Credit risk #Credit spread (options) #Credit valuation adjustment #Default risk #Economics #Finance #Financial Distress and Bankruptcy Prediction #Financial economics #Financial system #Liquidity risk #Market liquidity #Monetary economics #Yield (engineering) #iTraxx