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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5 How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa – - 2005
4 On the pricing of step-up bonds in the European telecom sector – - 2005
Cyclical Effects in Credit Risk Ratings and Default Risk*
3 Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads of Bond Indexes – - 2003
2 Modeling the Dynamics of Credit Spreads with Stochastic Volatility – - 2004
235 The Determinants of Credit Spread Changes – - 2001
8 Explaining Credit Spread Changes: New Evidence from Option-adjusted Bond Indexes – - 2003
9 Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt – - 2008
147 Structural Models of Corporate Bond Pricing: An Empirical Analysis – - 2003
Information, Liquidity and Corporate Yield Spreads
THE JOURNAL OF FINANCE • VOL. LVI, NO. 1 • FEBRUARY 2001 Explaining the Rate Spread on Corporate Bonds
ON THE VALUATION OF CORPORATE BONDS USING RATING-BASED MODELS – - 2003
11 Arbitrage-free pricing of credit derivatives with rating transitions – - 2002
1 The Dynamics of Corporate Credit Spreads
21 A Survey of Cyclical Effects in Credit Risk Measurement Models – - 2003
173 Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market – - 2005
Time-Series Econometrics: Cointegration and Autoregressive Conditional Heteroskedasticity – - 2003
2 Credit spread changes and volatility spillover effects – - 2007