In this paper, we estimate the term structure of credit spreads on Euro-denominated corporate bonds with a modified version of the Duffee (1999) intensity-based model. The empirical analysis considers monthly observations for a sample of investment-grade euro-denominated corporate bonds analysed for rating classes. The model is estimated with a maximum likelihood - Kalman filter approach over different sample periods ranging from January 1999 to August 2006. The estimation results, in general, support the application of the theoretical model to the euro-denominated bond market and exhibit some interesting characteristics of this relatively recent market. Copyright 2006 The Authors Journal compilation 2006 Banca Monte dei Paschi di Siena SpA
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Article provided by Banca Monte dei Paschi di Siena SpA in its journal Economic Notes.
Volume (Year): 35 (2006) Issue (Month): 3 (November) Pages: 355-375 Download reference. The following formats are available: HTML
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