Modeling credit spreads: An application to the sterling Eurobond market

International Review of Financial Analysis

Volumn 11, Issue 2, 2002, Pages 183-218

  Manzoni, Katiuscia ^a  

^a CITY UNIVERSITY   (United Kingdom)

Author keywords

Credit risk; Credit spreads; Eurobond market; GARCH models

Indexed keywords

EID: 0036309079     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1057-5219(02)00074-1     Document Type: Article

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