Scaling the volatility of credit spreads: Evidence from Australian dollar eurobonds

International Review of Financial Analysis

Volumn 11, Issue 3, 2002, Pages 331-344

  Batten, Jonathan ^a   Ellis, Craig ^b   Hogan, Warren ^c  

^a DEAKIN UNIVERSITY   (Australia)

^b UNIVERSITY OF WESTERN SYDNEY   (Australia)

^c UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

Author keywords

Credit derivatives; Dependent time series; Scaling relationships; Volatility

Indexed keywords

EID: 0036385969     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1057-5219(02)00079-0     Document Type: Article

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