Measuring systematic risk in EMU government yield spreads

Review of Finance

Volumn 8, Issue 2, 2004, Pages 171-197

  Geyer, Alois ^a   Kossmeier, Stephan ^b   Pichler, Stefan ^a  

^a VIENNA UNIVERSITY OF ECONOMICS AND BUSINESS   (Austria)

^b VIENNA UNIVERSITY OF TECHNOLOGY   (Austria)

Author keywords

affine term structure model; credit spreads; EMU; intensity model; Kalman filter; multi issuer model

Indexed keywords

EID: 5444236412     PISSN: 15723097     EISSN: None     Source Type: Journal    
DOI: 10.1023/B:EUFI.0000035191.62455.32     Document Type: Article

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