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

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  • Batten, Jonathan
  • Ellis, Craig
  • Hogan, Warren

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Bibliographic Info

Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 11 (2002)
Issue (Month): 3 ()
Pages: 331-344

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Handle: RePEc:eee:finana:v:11:y:2002:i:3:p:331-344

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Web page: http://www.elsevier.com/locate/inca/620166

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References

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  1. Robert S. Neal, 1996. "Credit derivatives: new financial instruments for controlling credit risk," Economic Review, Federal Reserve Bank of Kansas City, issue Q II, pages 15-27.
  2. Aggarwal, Raj & Aggarwal, Reena, 1993. "Security Return Distributions and Market Structure: Evidence from the NYSE/AMEX and the NASDAQ Markets," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 16(3), pages 209-20, Fall.
  3. Andrew W. Lo, 1989. "Long-term Memory in Stock Market Prices," NBER Working Papers 2984, National Bureau of Economic Research, Inc.
  4. Longstaff, Francis A & Schwartz, Eduardo S, 1995. " A Simple Approach to Valuing Risky Fixed and Floating Rate Debt," Journal of Finance, American Finance Association, vol. 50(3), pages 789-819, July.
  5. Barkoulas, John T & Labys, Walter C & Onochie, Joseph I, 1999. "Long Memory In Futures Prices," The Financial Review, Eastern Finance Association, vol. 34(1), pages 91-100, February.
  6. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August.
  7. Drost, F.C. & Nijman, T.E., 1992. "Temporal aggregation of GARCH processes," Discussion Paper 1992-40, Tilburg University, Center for Economic Research.
  8. McFarland, James W & Pettit, R Richardson & Sung, Sam K, 1982. " The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement," Journal of Finance, American Finance Association, vol. 37(3), pages 693-715, June.
  9. Howe, John S. & Martin, Deryl W. & WoodJr., Bob G., 1999. "Much ado about nothing: Long-term memory in Pacific Rim equity markets," International Review of Financial Analysis, Elsevier, vol. 8(2), pages 139-151, June.
  10. Rama Cont & Marc Potters & Jean-Philippe Bouchaud, 1997. "Scaling in stock market data: stable laws and beyond," Science & Finance (CFM) working paper archive 9705087, Science & Finance, Capital Fund Management.
  11. Ellis, Craig, 1999. "Estimation of the ARFIMA (p, d, q) fractional differencing parameter (d) using the classical rescaled adjusted range technique," International Review of Financial Analysis, Elsevier, vol. 8(1), pages 53-65.
  12. Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 481-523.
  13. Brent W. Ambrose & Esther Ancel & Mark D. Griffiths, 1992. "The Fractal Structure of Real Estate Investment Trust Returns: The Search for Evidence of Market Segmentation and Nonlinear Dependency," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(1), pages 25-54.
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Cited by:
  1. Sutthisit Jamdee & Cornelis A. Los, 2005. "Long Memory Options: LM Evidence and Simulations," Finance 0505003, EconWPA.
  2. Batten, Jonathan & Hogan, Warren, 2002. "A perspective on credit derivatives," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 251-278.

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