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ArticleCredit spread changes within switching regimes

Olfa Maalaoui Chun2014

Article2014

Credit spread changes within switching regimes

Olfa Maalaoui Chun · Georges Dionne · Pascal François

34 citations·0/0 files stored·Journal of Banking & Finance

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

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*2002Illiquidity and stock returns: cross-section and time-series effects 1997Credit Cycles 1988Agency Costs, Net Worth, And Business Fluctuations 1989Business conditions and expected returns on stocks and bonds 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 2001The Determinants of Credit Spread Changes 2012Credit Spreads and Business Cycle Fluctuations

Cited by

2015Will Political Connections Be Accounted for in the Interest Rates of Chinese Urban Development Investment Bonds?2022Private Debt Fund Returns, Persistence, and Market Conditions 2017The impact of monetary policy on corporate bonds under regime shifts

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Year2014

Typearticle

Published2014-09-05

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations34

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jbankfin.2014.08.009

openalex_workW3122352136

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