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The joint estimation of term structures and credit spreads

Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - 1999

We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...

Persistent link: https://www.econbiz.de/10011301164

Anchoring on credit spreads

Dougal, Casey; Engelberg, Joseph; Parsons, Christopher A.; … - In: The journal of finance : the journal of the American … 70 (2015) 3, pp. 1039-1080

Persistent link: https://www.econbiz.de/10011317861

Accounting data and the credit spread : an empirical investigation

Demirovic, Amer; Tucker, Jon; Guermat, Cherif - In: Research in international business and finance 34 (2015), pp. 233-250

Persistent link: https://www.econbiz.de/10011326310

Call feature and corporate bond yield spreads

Samet, Anis; Obay, Lamia - In: Journal of multinational financial management 25/26 (2014), pp. 1-20

Persistent link: https://www.econbiz.de/10010516827

Rating agency adjustments to GAAP financial statements and their effect on ratings and credit spreads

Kraft, Pepa - In: The accounting review : a publication of the American … 90 (2015) 2, pp. 641-674

Persistent link: https://www.econbiz.de/10010517088

Mortgage rates and the corporate bond index at the time of QEs in California

Kim, Taewon; Lee, Daniel C.; Tran, Dang T. - In: International journal of financial research 6 (2015) 4, pp. 151-160

Persistent link: https://www.econbiz.de/10011405453

Sovereign and corporate credit risk : evidence from the Eurozone

Bedendo, Mascia; Colla, Paolo - In: The journal of corporate finance : contracting, … 33 (2015), pp. 34-52

Persistent link: https://www.econbiz.de/10011408394

Quantifying liquidity and default risks of corporate bonds over the business cycle

Chen, Hui; Cui, Rui; He, Zhiguo; Milbradt, Konstantin - In: The review of financial studies 31 (2018) 3, pp. 852-897

Persistent link: https://www.econbiz.de/10011925272

Corporate bond market interdependence : credit spread correlation between and within U.S. and Canadian corporate bond markets

Champagne, Claudia; Coggins, Frank; Sodjahin, Amos - In: The North American journal of economics and finance : a … 41 (2017), pp. 1-17

Persistent link: https://www.econbiz.de/10011878922

Determinants of corporate credit spread : evidence from India

Thakur, Bhanu Pratap Singh; Kannadhasan, M.; Goyal, Vinay - In: Decision 45 (2018) 1, pp. 59-73

Persistent link: https://www.econbiz.de/10011887007

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