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ArticleModeling credit spreads

Katiuscia Manzoni2002

Article2002

Modeling credit spreads

Katiuscia Manzoni

28 citations·0/0 files stored·International Review of Financial Analysis

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1986Generalized autoregressive conditional heteroskedasticity 1988Testing for a Unit Root in Time Series Regression 1977Time Series Analysis: Forecasting and Control 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order

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Year2002

Typearticle

Published2002-01-01

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations28

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/s1057-5219(02)00074-1

openalex_workW2008804978

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