SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Time variation in the credit spreads on Australian Eurobonds
16 references·1 citing·30 second hop
Time variation in the credit spreads on Australian Eurobonds (2003)Time variation in the credit spreads on A…A Cointegration Analysis of Treasury Bill Yields (2008)A Cointegration Analysis of T…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Estimating the Price of Default Risk (1999)Estimating the Price of Defau…The Relation Between Treasury Yields and Corporate Bond Yield Spreads (1998)The Relation Between Treasury…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…The econometrics of financial markets (1996)The econometrics of financial…Pricing Credit-Sensitive Debt When Interest Rates, Credit Ratings and Credit Spreads are Stochastic (1996)Pricing Credit-Sensitive Debt…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Temporal Aggregation of Garch Processes (1993)Temporal Aggregation of Garch…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…A Cointegration Analysis of Treasury Bill Yields (1992)A Cointegration Analysis of T…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets (2018)The Co‐Movement of Credit Def…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Statistical analysis of cointegration vectors (1988)Scaling of the distribution of fluctuations of financial market indices (1999)Statistical properties of the volatility of price fluctuations (1999)VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Common Factors Affecting Bond Returns (1991)Do Credit Spreads Reflect Stationary Leverage Ratios? (2001)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Common risk factors in the returns on stocks and bonds (1993)Prospect Theory and Asset Prices (2001)Credit Spreads and Business Cycle Fluctuations (2012)The cost of capital, corporation finance and the theory of investment (2008)Arbitrage Theory in Continuous Time (1998)Explaining the Rate Spread on Corporate Bonds (2001)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 1996The econometrics of financial markets886 cited
  • 1998The Relation Between Treasury Yields and Corporate Bond Yield Spreads778 cited
  • 1999Estimating the Price of Default Risk724 cited
  • 1993Temporal Aggregation of Garch Processes678 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt406 cited
  • 1992A Cointegration Analysis of Treasury Bill Yields392 cited
  • 2008A Cointegration Analysis of Treasury Bill Yields320 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1996
Pricing Credit-Sensitive Debt When Interest Rates, Credit Ratings and Credit Spreads are Stochastic
249 cited

Cited by

  • 2018The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets22 cited