Georgoutsos, Demetris A.; Kounitis, Thomas I. - In: Money, trade and finance : recent trends and …, (pp. 169-191). 2021
This chapter deals with the dynamic relationship between term and credit spreads within a framework that incorporates regime shifts. Through the estimation of an asymmetric Markov-Switching Vector Equilibrium Correction Model (MS-VECM), comprising the short- and the long-term risk-free rate and...