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Modelling multiple term structures of defaultable bonds with common and idiosyncratic state variables

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  • Lekkos, Ilias

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  • Lekkos, Ilias, 2007. "Modelling multiple term structures of defaultable bonds with common and idiosyncratic state variables," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 783-817, December.
  • Handle: RePEc:eee:empfin:v:14:y:2007:i:5:p:783-817
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    Cited by:

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    3. Ballestra, Luca Vincenzo & Pacelli, Graziella & Radi, Davide, 2020. "Modeling CDS spreads: A comparison of some hybrid approaches," Journal of Empirical Finance, Elsevier, vol. 57(C), pages 107-124.

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