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Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Forecasting Intraday Liquidity in the Corporate Bond Markets |
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| Institution | University of Zurich |
| Faculty | Faculty of Economics, Business Administration and Information Technology |
| Date | 2011 |
| Abstract Text | This thesis pioneers the access to high frequency intraday corporate bonds data and evaluates the quality of the data received. Furthermore this work describes how to extract intraday corporate bond data. The most important stylized facts of the United States' corporate bond market are calculated to present the location, spread, shape, and dependence of the data packages. In dependence on Engle's News Impact Curve, a new measurement of the inuence of bond liquidities on bid prices, called Spread Impact Curve (SIC), is introduced. It is statistically shown, that the liquidities' impact on the bid prices is greater than on the ask prices. Finally a liquidity forecast model, based on Generalized Autoregressive Conditional Heteroskedastic (GARCH) models, is designed and adopted in order to forecast liquidity in the corporate bond markets. |
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