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The dynamics of Australian dollar bonds with different credit qualities

Batten, Jonathan A.; Hogan, Warren Pat; Pynnönen, Seppo - In: International review of financial analysis 9 (2000) 4, pp. 389-404

Persistent link: https://www.econbiz.de/10001545827

Expectations and liquidity in yen bond markets

Pynnönen, Seppo; Hogan, Warren Pat; Batten, Jonathan A. - In: Journal of the Asia Pacific economy 7 (2002) 3, pp. 335-354

Persistent link: https://www.econbiz.de/10001705637

The time-varying behaviour of credit spreads on yen Eurobonds

Batten, Jonathan A.; Hogan, Warren Pat; Pynnönen, Seppo - In: The Japanese finance : corporate finance and capital …, (pp. 379-404). 2003

Persistent link: https://www.econbiz.de/10002949540

Modelling credit spreads on yen Eurobonds within an equilibrium correction framework

Pynnönen, Seppo; Hogan, Warren Pat; Batten, Jonathan A. - In: Applied financial economics 16 (2006) 8, pp. 583-606

Persistent link: https://www.econbiz.de/10003328457

THE TIME-VARYING BEHAVIOUR OF CREDIT SPREADS ON YEN EUROBONDS

Batten, Jonathan A.; Hogan, Warren P.; Pynnönen, Seppo - In: The Japanese finance : corporate finance and capital …, (pp. 379-404). 2003

This study develops an equilibrium model of credit spreads on Japanese yen Eurobonds based on a model proposed by Collin-Dufresne, Goldstein and Martin (2001). We find the asset factor, as proxied by the change in the stock market index, has only a limited effect, while the interest rate factor...

Persistent link: https://www.econbiz.de/10015388382