Dynamical analysis of corporate bonds based on the yield spread term-quality surface
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Volume (Year): 12 (2005)
Issue (Month): 4 (December)
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96-29, Board of Governors of the Federal Reserve System (U.S.).
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- 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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