Credit Spreads and the Term Structure of Interest Rates
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- Christiansen, Charlotte, 2002. "Credit spreads and the term structure of interest rates," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 279-295.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Batten, Jonathan & Hogan, Warren, 2002. "A perspective on credit derivatives," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 251-278.
- Blakespoor, Elizabeth & Linsmeier, Thomas J. & Petroni, Kathy & Shakespeare, Catherine, 2012. "Fair Value Accounting for Financial Instruments: Does It Improve the Association between Bank Leverage and Credit Risk?," Research Papers 2107, Stanford University, Graduate School of Business.
- Guidolin, Massimo & Tam, Yu Man, 2013.
"A yield spread perspective on the great financial crisis: Break-point test evidence,"
International Review of Financial Analysis,
Elsevier, vol. 26(C), pages 18-39.
- Massimo Guidolin & Yu Man Tam, 2010. "A yield spread perspective on the great financial crisis: break-point test evidence," Working Papers 2010-026, Federal Reserve Bank of St. Louis.
- Jonathan Batten & Warren Hogan & Gady Jacoby, 2005. "Measuring credit spreads: evidence from Australian Eurobonds," Applied Financial Economics, Taylor & Francis Journals, vol. 15(9), pages 651-666.
- Rasidah Mohd SAID, 2013. "Impact of Macroeconomic News on Malaysian Bond Credit Spreads," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 3(12), pages 1460-1472, December.
- Alizadeh, Amir H. & Gabrielsen, Alexandros, 2013. "Dynamics of credit spread moments of European corporate bond indexes," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3125-3144.
More about this item
KeywordsConstant Conditional Correlations; Corporate Bonds; Credit Spreads; Macroeconomic News; Treasury Yields;
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