-
1
-
-
12344315705
-
An econometric model of credit spreads with re-balance, ARCH and jump effects
-
Penn State University
-
Bierens, H., J. Huang, and W. Kong, 2003, "An Econometric Model of Credit Spreads with Re-balance, ARCH and Jump Effects," working paper, Penn State University.
-
(2003)
Working Paper
-
-
Bierens, H.1
Huang, J.2
Kong, W.3
-
2
-
-
12344251614
-
An indirect estimate of transaction costs for corporate bonds
-
Michigan State University
-
Chen, L., and J. Wei, 2002, "An Indirect Estimate of Transaction Costs for Corporate Bonds," working paper, Michigan State University.
-
(2002)
Working Paper
-
-
Chen, L.1
Wei, J.2
-
3
-
-
27244450593
-
Is credit event risk priced? Modelling contagion via the updating of beliefs
-
Carnegie Mellon University
-
Collin-Dufresne, P., R. Goldstein, and J. Helwege, 2003, "Is Credit Event Risk Priced? Modelling Contagion via the Updating of Beliefs," working paper, Carnegie Mellon University.
-
(2003)
Working Paper
-
-
Collin-Dufresne, P.1
Goldstein, R.2
Helwege, J.3
-
4
-
-
0040160904
-
The determinants of credit spread changes
-
Collin-Dufresne, P., R. S. Goldstein, and J. S. Martin, 2001, "The Determinants of Credit Spread Changes," Journal of Finance, 56, 2177-2207.
-
(2001)
Journal of Finance
, vol.56
, pp. 2177-2207
-
-
Collin-Dufresne, P.1
Goldstein, R.S.2
Martin, J.S.3
-
5
-
-
12344333263
-
Liquidity in US fixed income markets: A comparison of the bid-ask spread in corporate, government and municipal bond markets
-
Purdue University and Federal Reserve Bank New York
-
Chakravarty, S., and A. Sarkar, 1999, "Liquidity in US Fixed Income Markets: A Comparison of the Bid-Ask Spread in Corporate, Government and Municipal Bond Markets," working paper, Purdue University and Federal Reserve Bank New York.
-
(1999)
Working Paper
-
-
Chakravarty, S.1
Sarkar, A.2
-
6
-
-
0008766361
-
Specification analysis of affine term structure models
-
Dai, Q., and K. J. Singleton, 2000, "Specification Analysis of Affine Term Structure Models," Journal of Finance, 55, 1943-1978.
-
(2000)
Journal of Finance
, vol.55
, pp. 1943-1978
-
-
Dai, Q.1
Singleton, K.J.2
-
7
-
-
0346198182
-
Correlated default risk
-
Santa Clara University
-
Das, S., L.,Freed, G. Geng, and N. Kapadia, 2002, "Correlated Default Risk," working paper, Santa Clara University.
-
(2002)
Working Paper
-
-
Das, S.1
Freed, L.2
Geng, G.3
Kapadia, N.4
-
8
-
-
0034412238
-
Time-series and cross-section information in affine term structure models
-
De Jong, F., 2000, "Time-Series and Cross-section Information in Affine Term Structure Models." Journal of Economics and Business Statistics, 18, 300-318.
-
(2000)
Journal of Economics and Business Statistics
, vol.18
, pp. 300-318
-
-
De Jong, F.1
-
9
-
-
22744444567
-
The components of corporate credit spreads: Default, recovery, tax, jumps, liquidity, and market factors
-
UCLA
-
Delianedis, G., and R. Geske, 2001, "The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors," working paper, UCLA.
-
(2001)
Working Paper
-
-
Delianedis, G.1
Geske, R.2
-
10
-
-
1342322520
-
Estimating exponential-affine term structure models by Kalman Filter
-
Duan, J., and J. G. Simonato, 1999, "Estimating Exponential-Affine Term Structure Models by Kalman Filter," Review of Quantitative Finance and Accounting 13, 11-135.
-
(1999)
Review of Quantitative Finance and Accounting
, vol.13
, pp. 11-135
-
-
Duan, J.1
Simonato, J.G.2
-
11
-
-
0033477947
-
Estimating the price of default risk
-
Duffee, G., 1999, "Estimating the Price of Default Risk," Review of Financial Studies, 12, 197-226.
-
(1999)
Review of Financial Studies
, vol.12
, pp. 197-226
-
-
Duffee, G.1
-
12
-
-
0041589839
-
Term premia and interest rate forecasts in affine models
-
Duffee, G., 2002, "Term Premia and Interest Rate Forecasts in Affine Models," Journal of Finance, 57, 405-443.
-
(2002)
Journal of Finance
, vol.57
, pp. 405-443
-
-
Duffee, G.1
-
13
-
-
8744256830
-
Estimation of dynamic term structure models
-
Haas School of Business, University of California
-
Duffee, G., and R. Stanton, 2000, "Estimation of Dynamic Term Structure Models," working paper, Haas School of Business, University of California.
-
(2000)
Working Paper
-
-
Duffee, G.1
Stanton, R.2
-
14
-
-
0030305091
-
A yield-factor model of interest rates
-
Duffie, D., and R. Kan, 1996, "A Yield-Factor Model of Interest Rates," Mathematical Finance, 6, 379-406.
-
(1996)
Mathematical Finance
, vol.6
, pp. 379-406
-
-
Duffie, D.1
Kan, R.2
-
15
-
-
0013065959
-
Modeling sovereign yield spreads: A case study of Russian debt
-
Duffie, D., L. H. Pedersen, and K. J. Singleton, 2003, "Modeling Sovereign Yield Spreads: A Case Study of Russian Debt," Journal of Finance, 58, 119-159.
-
(2003)
Journal of Finance
, vol.58
, pp. 119-159
-
-
Duffie, D.1
Pedersen, L.H.2
Singleton, K.J.3
-
16
-
-
0033416234
-
Modeling term structures of defaultable bonds
-
Duffie, D., and K. J. Singleton, 1999, "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, 12, 687-720.
-
(1999)
Review of Financial Studies
, vol.12
, pp. 687-720
-
-
Duffie, D.1
Singleton, K.J.2
-
17
-
-
5444221202
-
A theoretical inspection of the market price for default risk
-
University of Southern California
-
El Karoui, N., and L. Martellini, 2001, "A Theoretical Inspection of the Market Price for Default Risk," working paper, University of Southern California.
-
(2001)
Working Paper
-
-
El Karoui, N.1
Martellini, L.2
-
18
-
-
0040885646
-
Explaining the rate spread on corporate bonds
-
Elton E. J., M. J. Gruber, D. Agrawal and C. Mann, 2001, "Explaining the Rate Spread on Corporate Bonds," Journal of Finance, 56, 247-277.
-
(2001)
Journal of Finance
, vol.56
, pp. 247-277
-
-
Elton, E.J.1
Gruber, M.J.2
Agrawal, D.3
Mann, C.4
-
19
-
-
0006228638
-
Factors affecting the valuation of corporate bonds
-
New York University
-
Elton E. J., M. J. Gruber, D. Agrawal and C. Mann, 2002, "Factors Affecting the Valuation of Corporate Bonds," working paper, New York University.
-
(2002)
Working Paper
-
-
Elton, E.J.1
Gruber, M.J.2
Agrawal, D.3
Mann, C.4
-
20
-
-
0039818638
-
A nonparametric approach to nonlinear time series analysis: Estimation and simulation
-
D. Brillinger, P. Caines, J. Geweke, E. Parzen, M. Rosenblatt, and M. S. Taqqu (eds.) Springer-Verlag, New York
-
Gallant, A. R., and G. E. Tauchen, 1992, "A Nonparametric Approach to Nonlinear Time Series Analysis: Estimation and Simulation," in D. Brillinger, P. Caines, J. Geweke, E. Parzen, M. Rosenblatt, and M. S. Taqqu (eds.) New Directions in Time Series Analysis, Part II, pp. 71-92 Springer-Verlag, New York.
-
(1992)
New Directions in Time Series Analysis, Part II
, pp. 71-92
-
-
Gallant, A.R.1
Tauchen, G.E.2
-
21
-
-
18544376108
-
Which moments to match?
-
Gallant, A. R., and G. E. Tauchen, 1996, "Which Moments to Match?," Econometric Theory, 12, 657-681.
-
(1996)
Econometric Theory
, vol.12
, pp. 657-681
-
-
Gallant, A.R.1
Tauchen, G.E.2
-
23
-
-
0000414660
-
Large sample properties of generalized methods of moments estimators
-
Hansen, L.P., 1982, "Large Sample Properties of Generalized Methods of Moments Estimators," Econometrics, 50, 1029-1054.
-
(1982)
Econometrics
, vol.50
, pp. 1029-1054
-
-
Hansen, L.P.1
-
24
-
-
4644267532
-
How to measure corporate bond liquidity?
-
Erasmus University Rotterdam
-
Houweling, P., A. Mentink, and T. Vorst, 2003, "How to Measure Corporate Bond Liquidity?," working paper, Erasmus University Rotterdam.
-
(2003)
Working Paper
-
-
Houweling, P.1
Mentink, A.2
Vorst, T.3
-
25
-
-
0009894603
-
How much of the corporate-treasury yield spread is due to credit risk?
-
Penn State University
-
Huang, J., and M. Huang, 2002, "How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?," working paper, Penn State University.
-
(2002)
Working Paper
-
-
Huang, J.1
Huang, M.2
-
26
-
-
4344669975
-
Estimating expected losses and liquidity discounts implicit in debt prices
-
Janosi, T., R. Jarrow, and Y. Yildirim, 2002, "Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices," The Journal of Risk, 5(1).
-
(2002)
The Journal of Risk
, vol.5
, Issue.1
-
-
Janosi, T.1
Jarrow, R.2
Yildirim, Y.3
-
27
-
-
0141617252
-
Default risk and diversification: Theory and applications
-
Cornell University
-
Jarrow, R. A., D. Lando, and F. Yu, 2001, "Default Risk and Diversification: Theory and Applications," working paper. Cornell University.
-
(2001)
Working Paper.
-
-
Jarrow, R.A.1
Lando, D.2
Yu, F.3
-
28
-
-
84993907181
-
Pricing derivatives on financial securities subject to credit risk
-
Jarrow, R. A., and S. M. Turnbull, 1995, "Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, 50, 53-86.
-
(1995)
Journal of Finance
, vol.50
, pp. 53-86
-
-
Jarrow, R.A.1
Turnbull, S.M.2
-
29
-
-
29544447694
-
Estimating a risky term structure of brady bonds
-
London Business School
-
Keswani, A., 1999, "Estimating a Risky Term Structure of Brady Bonds," working paper, London Business School.
-
(1999)
Working Paper
-
-
Keswani, A.1
-
30
-
-
11844298152
-
Predictions of expected default frequencies in structural models of debt
-
UCLA
-
Leland, H., 2002, "Predictions of Expected Default Frequencies in Structural Models of Debt," working paper, UCLA.
-
(2002)
Working Paper
-
-
Leland, H.1
-
31
-
-
0344539496
-
The market price of credit risk: An empirical analysis of interest rate swap spreads
-
UCLA
-
Liu, J., F. Longstaff, and R. Mandell, 2001, "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," working paper, UCLA.
-
(2001)
Working Paper
-
-
Liu, J.1
Longstaff, F.2
Mandell, R.3
-
32
-
-
84993865629
-
A simple approach to valuing risky and floating rate debt
-
Longstaff, F. A., and E. S. Schwanz, 1995, "A Simple Approach to Valuing Risky and Floating Rate Debt," Journal of Finance, 50, 789-819.
-
(1995)
Journal of Finance
, vol.50
, pp. 789-819
-
-
Longstaff, F.A.1
Schwanz, E.S.2
-
33
-
-
54649084437
-
Pricing the risks of default
-
Madan, D. B., and H. Unal, 1998, "Pricing the Risks of Default," Review of Derivatives Research, 2, 121-160.
-
(1998)
Review of Derivatives Research
, vol.2
, pp. 121-160
-
-
Madan, D.B.1
Unal, H.2
-
34
-
-
12344283611
-
Default and recovery rates of corporate bond issuers: 2000
-
Moody's Investors Service, Global Credit Research
-
Moody's Special Comment, 2001, "Default and Recovery Rates of Corporate Bond Issuers: 2000," Moody's Investors Service, Global Credit Research.
-
(2001)
Moody's Special Comment
-
-
-
35
-
-
0000706085
-
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
-
Newey, W. K., and K. D. West, 1987, "A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, 55, 703-708.
-
(1987)
Econometrica
, vol.55
, pp. 703-708
-
-
Newey, W.K.1
West, K.D.2
-
36
-
-
84993661234
-
Exploiting the conditional density in estimating the term structure: An application of the CIR model
-
Pearson, N. D., and T. S. Sun, 1994, "Exploiting the Conditional Density in Estimating the Term Structure: An Application of the CIR model, " Journal of Finance, 49, 1279-1304.
-
(1994)
Journal of Finance
, vol.49
, pp. 1279-1304
-
-
Pearson, N.D.1
Sun, T.S.2
-
37
-
-
12344295280
-
Ratings performance 2000
-
Standard & Poor's Risk Solutions
-
Standard & Poor's Special Report, 2001, "Ratings Performance 2000," Standard & Poor's Risk Solutions.
-
(2001)
Standard & Poor's Special Report
-
-
-
38
-
-
0344970529
-
Decomposing the expected return on corporate bonds
-
Yu, F., 2002, "Decomposing the Expected Return on Corporate Bonds," Journal of Fixed Income, 12, 69-81.
-
(2002)
Journal of Fixed Income
, vol.12
, pp. 69-81
-
-
Yu, F.1
-
39
-
-
0002644952
-
Maximum likelihood estimation of misspecified models
-
White, H., 1982, "Maximum Likelihood Estimation of Misspecified Models," Econometrica, 50, 1-25.
-
(1982)
Econometrica
, vol.50
, pp. 1-25
-
-
White, H.1
|