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The dynamics of Australian dollar bonds with different credit qualities

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  • Batten, Jonathan
  • Hogan, Warren
  • Pynnonen, Seppo

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Bibliographic Info

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

Volume (Year): 9 (2000)
Issue (Month): 4 ()
Pages: 389-404

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Handle: RePEc:eee:finana:v:9:y:2000:i:4:p:389-404

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

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References

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  1. Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  2. Jonathan Batten & Warren Hogan, 1999. "Credit Derivatives: An Appraisal For Australian Financial Institutions," Economic Papers, The Economic Society of Australia, vol. 18(2), pages 19-41, 06.
  3. Benjamin H Cohen, 1999. "Monetary Policy Procedures and Volatility Transmission along the Yield Curve," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-22 Bank for International Settlements.
  4. 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.
  5. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-26, February.
  6. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  7. 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.
  8. 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.
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Cited by:
  1. Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan Sivananthan, 2014. "An analysis of price discovery from panel data models of CDS and equity returns," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 167-177.
  2. Thuraisamy, Kannan & Gannon, Gerard, 2013. "Modelling the sovereign linkages of key Latin American economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 222-239.
  3. Kannan Thuraisamy & Gerry Gannon & Jonathan A. Batten, 2007. "The Credit Spread Dynamics of Latin American Euro Issues in International Bond Markets," Accounting, Finance, Financial Planning and Insurance Series 2007_12, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.

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