An Empirical Investigation in Credit Spread Indices
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Other versions of this item:
- Olivier Scaillet & Olivier Renault & Jean-Luc Prigent, 2000. "An Empirical Investigation in Credit Spread Indices," FMG Discussion Papers dp363, Financial Markets Group.
- Jean -Luc Prigent & Olivier Renault & Olivier Scaillet, 2000. "An Empirical Investigation in Credit Spread Indices," Working Papers 2000-59, Center for Research in Economics and Statistics.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kris Jacobs & Xiaofei Li, 2008. "Modeling the Dynamics of Credit Spreads with Stochastic Volatility," Management Science, INFORMS, vol. 54(6), pages 1176-1188, June.
- Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlögl, 2007.
"A Markovian Defaultable Term Structure Model With State Dependent Volatilities,"
International Journal of Theoretical and Applied Finance (IJTAF),
World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 155-202.
- Carl Chiarella & Erik Schlögl & Christina Nikitopoulos-Sklibosios, 2004. "A Markovian Defaultable Term Structure Model with State Dependent Volatilities," Research Paper Series 135, Quantitative Finance Research Centre, University of Technology, Sydney.
- Roger WALDER, 2002. "Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures," FAME Research Paper Series rp56, International Center for Financial Asset Management and Engineering.
- Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6.
More about this item
KeywordsCredit spread; risk management; jump diffusion; volatility; nonparametric;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
- G20 - Financial Economics - - Financial Institutions and Services - - - General
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