Similar Search Results

Credit spread modeling : macro-financial versus HOC approach

Dudaković, Sanja - In: Economic analysis : EA 47 (2014) 3/4, pp. 53-68

Persistent link: https://www.econbiz.de/10010506024

Global bond risk premia under falling stars

Zhang, Yugui; Zhu, Jie; Zhu, Xiaoneng - In: Finance research letters 42 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10014580460

Time-varying sparsity in dynamic regression models

Kalli, Maria; Griffin, Jim E. - In: Journal of econometrics 178 (2014) 2, pp. 779-793

Persistent link: https://www.econbiz.de/10010257660

Multi-level factor analysis of bond risk premia

Kim, Dukpa; Kim, Yunjung; Bak, Yuhyeon - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 5, pp. 1-19

Persistent link: https://www.econbiz.de/10011897566

Are CDS spreads sensitive to the term structure of the yield curve? : a sector-wise analysis under various market conditions

Aman, Asia - In: Journal of risk and financial management : JRFM 12 (2019) 4/158, pp. 1-13

This study examines the impact of changes in the yield curve factors on the Credit Default Swap (CDS) spreads of the U.S. industrial sectors. Stock returns and the crude oil-based volatility index are used in a quantile regression framework to test the validity of Merton’s model. The results...

Persistent link: https://www.econbiz.de/10012172992