Credit spreads in illiquid markets : model and implementation
Gonzalo Cortazar, Eduardo S. Schwartz, and Claudio Tapia
| Year of publication: |
2012
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|---|---|
| Authors: | Cortazar, Gonzalo ; Schwartz, Eduardo S. ; Tapia Figueroa, Claudio Andrés |
| Published in: |
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets. - Philadelphia, Pa. : Routledge Taylor & Francis Group, ISSN 1540-496X, ZDB-ID 2089472-7. - Vol. 48.2012, 6, p. 53-72
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| Subject: | bond spreads | emerging markets | Kalman filter | Zinsstruktur | Yield curve | Schwellenländer | Emerging economies | Zustandsraummodell | State space model | Risikoprämie | Risk premium | Kreditrisiko | Credit risk | Öffentliche Anleihe | Public bond | Theorie | Theory | Anleihe | Bond | Unternehmensanleihe | Corporate bond |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009721136