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Credit spread determinants: An 85 year perspective · Study

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ArticleCredit spread determinants: An 85 year perspective

Andrew Davies2007

Article2007

Credit spread determinants: An 85 year perspective

65 citations·0/0 files stored·Journal of Financial Markets

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Credit Risk and Financial Regulations Financial Markets and Investment Strategies Financial Distress and Bankruptcy Prediction

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References

1988Statistical analysis of cointegration vectors 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 2001The Determinants of Credit Spread Changes 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads

Cited by

2010EUA and sCER phase II price drivers: Unveiling the reasons for the existence of the EUA–sCER spread 2014Macro risk factors of credit default swap indices in a regime-switching framework 2012THE EFFECT OF MONETARY POLICY ON CREDIT SPREADS 2014Credit spread changes within switching regimes

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Year2007

Typearticle

Published2007-11-29

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations65

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.finmar.2007.10.002

openalex_workW2015468614

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