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The dynamics of Australian dollar bonds with different credit qualities

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

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File URL: http://www.sciencedirect.com/science/article/B6W4W-426H73R-4/2/522e7e8ef81e6a52ad663232478d8bff
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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  1. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-70, May.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  8. 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.
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