What drives the cross-section of credit spreads? : a variance decomposition approach
Year of publication: |
October 2017
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Authors: | Nozawa, Yoshio |
Published in: |
The journal of finance : the journal of the American Finance Association. - Hoboken, NJ [u.a.] : Wiley, ISSN 0022-1082, ZDB-ID 218191-5. - Vol. 72.2017, 5, p. 2045-2072
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Subject: | Credit risk | fixed income | variance decomposition | credit spread | Kreditrisiko | Zinsstruktur | Yield curve | Dekompositionsverfahren | Decomposition method | Unternehmensanleihe | Corporate bond | Risikoprämie | Risk premium | Schätzung | Estimation | Theorie | Theory |
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