References

• 1985A Theory of the Term Structure of Interest Rates8,333 cited
• 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
• 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
• 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps1,166 cited
• 2004The relationship between credit default swap spreads, bond yields, and credit rating announcements1,008 cited
• 2012How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?1,000 cited
• 2004Structural Models of Corporate Bond Pricing: An Empirical Analysis926 cited
• 2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads805 cited
• 2009The Determinants of Credit Default Swap Premia663 cited
• 2006An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps629 cited
• 1995Trade Size and Components of the Bid-Ask Spread553 cited
• 1993Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates552 cited
• 2006An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market540 cited
• 2007Measuring Default Risk Premia from Default Swap Rates and EDFs