Yap, Chee Jin (contributor); Gannon, Gerard L. (contributor) - 2007
. PROPERTIES OF MALAYSIAN CREDIT SPREADS AND RELATIONSHIP
WITH MARKET VARIABLES
The study by Litterman and Iben (1991) as well …
Studies on country spreads such as Kamin and Kleist (1999) found spreads of emerging
markets are non-stationary. Similar … equity index influences the changes of credit spreads. A number of researchers,
(Longstaff and Schwartz 1995; Duffee 1996b …