A decomposition of Korean sovereign bond yields : joint estimation using sovereign CDS and bond data
Jungmu Kim; Changjun Lee
| Year of publication: |
2014
|
|---|---|
| Authors: | Kim, Jungmu ; Lee, Changjun |
| Published in: |
Asia-Pacific journal of financial studies. - Richmond : Wiley-Blackwell, ISSN 2041-9945, ZDB-ID 2616683-5. - Vol. 43.2014, 6, p. 918-947
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| Subject: | Credit default swaps | Flight-to-quality | Reduced-form approach | Sovereign yield spread | Time-varying risk premium | Kreditderivat | Credit derivative | Risikoprämie | Risk premium | Öffentliche Anleihe | Public bond | Zinsstruktur | Yield curve | Kapitaleinkommen | Capital income | Südkorea | South Korea | Kreditrisiko | Credit risk | Länderrisiko | Country risk | Schätzung | Estimation | Anleihe | Bond | Rendite | Yield | Eurozone | Euro area | Welt | World |