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A repeat-sales index for pricing US corporate bonds

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Academic year: 2021

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Figure

Table 1. The Table provides an illustration on how bond trades are organised as repeat-sales
Table 2.  The Table provides summary statistics on the trading frequency of corporate bonds  in TRACE
Figure 1. The Figure shows the 2.5 and 97.5 percentiles across the 100 replications of the  index estimation over different numbers of observations
Figure 2. The Figure shows the losses of the various index estimates with respect to the  reference index series
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