ACTA WASAENSIA Dynamic equilibrium correction modelling of credit spreads. The case of yen Eurobonds

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by Warren Hogan , Jonathan Batten , Warren Hogan , Jonathan Batten Dynamic Equilibrium

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Corresponding addresses: – Credit Spreads, Warren P. Hogan, Jonathan A. Batten, Warren P. Hogan, Jonathan A. Batten, Warren P. Hogan, Jonathan A. Batten, Warren P. Hogan, Jonathan A. Batten
5 How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa – Marcel Peter, Martin Grandes - 2005
Cyclical Effects in Credit Risk Ratings and Default Risk* – Linda Allen, Anthony Saunders
3 Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads of Bond Indexes – Jing-zhi Huang, Weipeng Kong - 2003
4 On the pricing of step-up bonds in the European telecom sector – David Lando, Allan Mortensen - 2005
1 Modeling the Dynamics of Credit Spreads with Stochastic Volatility – Kris Jacobs, Xiaofei Li - 2004
224 The Determinants of Credit Spread Changes – Pierre Collin-Dufresne, Robert S. Goldstein, J. Spencer Martin - 2001
7 Explaining Credit Spread Changes: New Evidence from Option-adjusted Bond Indexes – Jing-Zhi Huang, Weipeng Kong - 2003
8 Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt – Jens Hilscher, Yves Nosbusch - 2008
Information, Liquidity and Corporate Yield Spreads – Xing Zhou, David Easley, Yongmiao Hong, David Ng, David Weinbaum, Xiaoyan Zhang
143 Structural Models of Corporate Bond Pricing: An Empirical Analysis – Young Ho Eom, Jean Helwege, Jing-zhi Huang - 2003
THE JOURNAL OF FINANCE • VOL. LVI, NO. 1 • FEBRUARY 2001 Explaining the Rate Spread on Corporate Bonds – Edwin J. Elton, Martin J. Gruber, Deepak Agrawal, Christopher Mann
ON THE VALUATION OF CORPORATE BONDS USING RATING-BASED MODELS – Edwin J. Elton, Martin J. Gruber, Deepak Agrawal, Christopher Mann - 2003
11 Arbitrage-free pricing of credit derivatives with rating transitions – Viral V. Acharya, Rangarajan K. Sundaram, Sanjiv Ranjan Das - 2002
1 The Dynamics of Corporate Credit Spreads – Fred Joutz , Sattar A. Mansi , William Maxwell
Time-Series Econometrics: Cointegration and Autoregressive Conditional Heteroskedasticity – n.n. - 2003
21 A Survey of Cyclical Effects in Credit Risk Measurement Models – Linda Allen, Anthony Saunders - 2003
164 Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market – Sanjay Mithal, Francis A. Longstaff, Eric Neis, Sanjay Mithal, Alan White, Ryoichi Yamabe, Francis A. Longstaff Sanjay Mithal, Eric Neis - 2005
2 Credit spread changes and volatility spillover effects – Thomas I. Kounitis - 2007