Prigent, J.-L.; Renault, O.; Scaillet, O. - Institut de Recherche Économique et Sociale (IRES), … - 2000
We study the dynamics of the spread between U.S. corporate and Treasury bonds. We focus on Aaa and Baa corporate yield indices and estimate nonparametrically the dynamics of the spreads assuming that they follow a univariate diffusion process. Using techniques developed for interest rate...