An econometric model of credit spreads with rebalancing, ARCH and jump effects

In this paper, we examine the dynamic behavior of credit spreads on corporate bond portfolios. We propose an econometric model of credit spreads that incorporates portfolio rebalancing, the near unit root property of spreads, the autocorrelation in spread changes, the ARCH conditional heteroscedasticity, jumps, and lagged market factors.(...)

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Year of publication:	2003-04-08
Authors:	Bierens, Herman ; Huang, Jing-zhi ; Kong, Weipeng
Publisher:	Salomon Center for the Study of Financial Institutions <New York, NY> / Credit & Debt Markets Research Program
Subject:	Index \| Kreditrisiko \| Anleihe \| Strukturbruch \| structural break

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Extent:	492544 bytes 43 p. application/pdf
Series:	NYU Salomon Center for the Study of Financial Institutions - Credit & Debt Markets - Publications Working Paper Series ; 2003, 07
Type of publication:	Book / Working Paper
Language:	English
Classification:	C13 - Estimation ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; G12 - Asset Pricing ; Equity financing ; Corporate finance and investment policy. Other aspects ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005846814