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Time variation in the credit spreads on Australian Eurobonds · Study

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ArticleTime variation in the credit spreads on Australian Eurobonds

Jonathan A. Batten2003

Article2003

Time variation in the credit spreads on Australian Eurobonds

Jonathan A. Batten · Warren Hogan

28 citations·0/0 files stored·Pacific-Basin Finance Journal

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Credit Risk and Financial Regulations Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1986Generalized autoregressive conditional heteroskedasticity 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 1999Modeling Term Structures of Defaultable Bonds 2001The Determinants of Credit Spread Changes 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt 1997A Markov Model for the Term Structure of Credit Risk Spreads

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2018The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets

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Year2003

Typearticle

Published2003-01-01

VenuePacific-Basin Finance Journal

ISSN-L0927-538X

Languageen

Citations28

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/s0927-538x(02)00097-5

openalex_workW2071019162

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