Первоисточники на иностранном языке:
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6. Chen L., Lesmond D.A., Wei J. Corporate Yield Spreads and Bond Liquidity. // Journal of Finance 62, 2007.
7. Christensen J. E. The Corporate Bond Credit Spread Puzzle. // Economic Letter, № 2008-10, 2008.
8. Collin-Dufresne P., Goldstein R., Martin J. The Determinants of Credit Spread Changes. // The Journal of Finance, № 6, 2001.
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11. Jens Dick-Nielsen, Peter Feldhutter, David Lando. Corporate bond liquidity before and after the onset of the subprime crisis. // Journal of Financial Economics, № 103, 2012.
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Электронные ресурсы:
1. Сайт информационного агентства Cbonds. URL: http://cbonds.ru/
2. Сайт Московской биржи. URL: http://moex.com/
3. Сайт Банка России URL: http://cbr.ru/
4. Сайт национальной ассоциации участников фондового рынка НАУФОР. URL: http://www.naufor.ru/
5. Информационное агентство Bloomberg.
Приложение 1
Диагностика линейной модели спреда доходности первичного рынка корпоративных облигаций
Рисунок 1-2. Проверка остатков на нормальность
Таблица 3. Проверка линейной модели на мультиколлинеарность
Таблица 4. Проверка на гетероскедастичность
Таблица 5. Тест Рамсея на правильную спецификацию модели
Приложение 2
Тестирование на выбор наиболее адекватной модели спреда доходности на вторичном рынке корпоративных облигаций
Таблица 6. Тест Хаусмана на выбор модели со случайными или детерминированными эффектами.
Приложение 3
Тестирование на гетероскедастичность и автокорреляцию во времени в модели со случайными эффектами
Таблица 7. Тест Вулдриджа на выявление автокорреляции во времени