An Empirical Estimation in Credit Spread Indices
Download full text from publisher
References listed on IDEAS
- Ait-Sahalia, Yacine, 1996.
"Testing Continuous-Time Models of the Spot Interest Rate,"
Review of Financial Studies,
Society for Financial Studies, vol. 9(2), pages 385-426.
- Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc.
- Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel, 1995.
"Testing for continuous-time models of the short-term interest rate,"
Journal of Empirical Finance,
Elsevier, vol. 2(3), pages 199-223, September.
- BROZE, Laurence & SCAILLET, Olivier & ZAKOIAN , Jean-Michel, 1993. "Testing for Continuous-Time Models of the Short-Term Interest Rate," CORE Discussion Papers 1993031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Broze, L. & Scaillet, O. & Zakoïan, J.-M., 1995. "Testing for continuous-time models of the short-term interest rate," CORE Discussion Papers RP 1177, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Madan, Dilip & Unal, Haluk, 2000.
"A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads,"
Journal of Financial and Quantitative Analysis,
Cambridge University Press, vol. 35(01), pages 43-65, March.
- Dilip Madan & Haluk Unal, 1999. "A Two-Factor Hazard-Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads," Center for Financial Institutions Working Papers 99-32, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Jan Ericsson & Olivier Renault, 2006. "Liquidity and Credit Risk," Journal of Finance, American Finance Association, vol. 61(5), pages 2219-2250, October.
- Courtadon, Georges, 1982. "The Pricing of Options on Default-Free Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(01), pages 75-100, March.
- Ho, Thomas S Y & Lee, Sang-bin, 1986. " Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-1029, December.
- Anderson, Ronald & Sundaresan, Suresh, 2000. "A comparative study of structural models of corporate bond yields: An exploratory investigation," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 255-269, January.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-10-22 (All new papers)
- NEP-CBA-2001-10-22 (Central Banking)
- NEP-FMK-2001-10-22 (Financial Markets)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ema:worpap:2000-51. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stefania Marcassa). General contact details of provider: http://edirc.repec.org/data/themafr.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.