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Finance and Economics Discussion Series
13 references·9 citing·34 second hop
Finance and Economics Discussion Series (2005)Finance and Economics Discussion SeriesThe Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)The Link between Default and …Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)Ratings migration and the bus…The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads (2001)The Market Price of Credit Ri…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Stability of rating transitions (2000)Stability of rating transitio…Estimating the Price of Default Risk (1999)Estimating the Price of Defau…Credit Risk in Private Debt Portfolios (1998)Credit Risk in Private Debt P…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Homeownership, housing capital gains and self-employment (2017)Homeownership, housing capita…Modelling events: The short-term economic impact of leaving the EU (2016)Modelling events: The short-t…Domestic gains from offshoring? Evidence from TAA-linked U.S. microdata (2016)Domestic gains from offshorin…Low Risk and High Return – Affective Attitudes and Stock Market Expectations (2013)Low Risk and High Return – Af…Credit and the Natural Rate of Interest (2011)Credit and the Natural Rate o…Empirical investigation of price setting and quantity surcharges in the German food sector (2009)Empirical investigation of pr…MONETARY POLICY INDICATORS AS PREDICTORS OF STOCK RETURNS (2008)MONETARY POLICY INDICATORS AS…A Bayesian Vector Autoregressive Model with Informative Steady‐state Priors for the Australian Economy* (2008)A Bayesian Vector Autoregress…Special interest groups and the allocation of public funds (2007)Special interest groups and t…An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)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)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Dynamic Asset Pricing Theory. (1993)Counterparty Risk and the Pricing of Defaultable Securities (2001)Measuring Abnormal Bond Performance (2008)The Determinants of Credit Default Swap Premia (2009)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Liquidity Risk and Expected Stock Returns (2003)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)Common risk factors in the returns on stocks and bonds (1993)Credit Spreads and Business Cycle Fluctuations (2012)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Modeling Term Structures of Defaultable Bonds (1999)Risk Assessment for Banking Systems (2006)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)The Asset Redeployability Channel: How Uncertainty Affects Corporate Investment (2016)Explaining the Rate Spread on Corporate Bonds (2001)The U.S. Treasury yield curve: 1961 to the present (2007)Analyzing rating transitions and rating drift with continuous observations (2002)How rating agencies achieve rating stability (2004)Default Risk in Equity Returns (2004)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2005The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*759 cited
  • 1999Estimating the Price of Default Risk724 cited
  • 2000Stability of rating transitions562 cited
  • 2002Ratings migration and the business cycle, with application to credit portfolio stress testing509 cited
  • 1998Credit Risk in Private Debt Portfolios247 cited
  • 2001The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads68 cited

Cited by

  • 2017Homeownership, housing capital gains and self-employment75 cited
  • 2007Special interest groups and the allocation of public funds

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64 cited
  • 2013Low Risk and High Return – Affective Attitudes and Stock Market Expectations48 cited
  • 2011Credit and the Natural Rate of Interest30 cited
  • 2016Domestic gains from offshoring? Evidence from TAA-linked U.S. microdata26 cited
  • 2016Modelling events: The short-term economic impact of leaving the EU24 cited
  • 2008MONETARY POLICY INDICATORS AS PREDICTORS OF STOCK RETURNS23 cited
  • 2008A Bayesian Vector Autoregressive Model with Informative Steady‐state Priors for the Australian Economy*20 cited
  • 2009Empirical investigation of price setting and quantity surcharges in the German food sector10 cited