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Floating–Fixed Credit Spreads
10 references·15 citing·25 second hop
Floating–Fixed Credit Spreads (2001)Floating–Fixed Credit SpreadsStochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…An Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)An Econometric Model of the T…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Advances in Futures and Options Research (1987)Advances in Futures and Optio…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The value of creditor control in corporate bonds (2016)The value of creditor control…Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data (2016)Effects of Liquidity on the N…Is Tail Risk Priced in Credit Default Swap Premia? (2015)Is Tail Risk Priced in Credit…How Sovereign Is Sovereign Credit Risk? (2011)How Sovereign Is Sovereign Cr…Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data (2008)Effects of Liquidity on the N…Do Bankruptcy Codes Matter? A Study of Defaults in France, Germany, and the U.K. (2008)Do Bankruptcy Codes Matter? A…Quadratic term structure models in discrete time (2006)Quadratic term structure mode…An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market (2006)An Empirical Comparison of Cr…The Effect of Credit Ratings on Credit Default Swap Spreads and Credit Spreads (2005)The Effect of Credit Ratings …Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…Term Structure Dynamics in Theory and Reality (2003)Term Structure Dynamics in Th…The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads (2001)The Market Price of Credit Ri…Prospect Theory and Asset Prices (2001)Prospect Theory and Asset Pri…A General Affine Earnings Valuation Model (2001)A General Affine Earnings Val…Credit Swap Valuation (1999)Credit Swap ValuationThe Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Determinants of Credit Spread Changes (2001)An equilibrium characterization of the term structure (1977)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Forecasting Default with the Merton Distance to Default Model (2008)The Aggregate Demand for Treasury Debt (2012)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)Optimum consumption and portfolio rules in a continuous-time model (1971)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Theory of rational option pricing (2005)Prospect Theory: An Analysis of Decision under Risk (1979)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Fairness and Retaliation: The Economics of Reciprocity (2000)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)The distribution of realized stock return volatility (2001)Default Risk in Equity Returns (2004)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2005Stochastic Integration and Differential Equations4,700 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,119 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk2,029 cited
  • 1990Stochastic Integration and Differential Equations1,213 cited
  • 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
  • 1987Advances in Futures and Options Research175 cited

Cited by

  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2001Prospect Theory and Asset Prices1,915 cited
  • 2011How Sovereign Is Sovereign Credit Risk?1,129 cited
  • 1999Credit Swap Valuation636 cited
  • 2008Do Bankruptcy Codes Matter? A Study of Defaults in France, Germany, and the U.K.566 cited

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2006
An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market
540 cited
  • 2003Term Structure Dynamics in Theory and Reality367 cited
  • 2005The Effect of Credit Ratings on Credit Default Swap Spreads and Credit Spreads81 cited
  • 2016The value of creditor control in corporate bonds76 cited
  • 2001A General Affine Earnings Valuation Model71 cited
  • 2001The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads68 cited
  • 2006Quadratic term structure models in discrete time39 cited
  • 2008Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data39 cited
  • 2016Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data39 cited
  • 2015Is Tail Risk Priced in Credit Default Swap Premia?36 cited