A joint non-parametric approach to the decomposition of bond yields and CDS spreads: application of Eurozone market data
Year of publication: |
2013
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Authors: | Lapshin, Victor ; Kurbangaleev, Marat |
Institutions: | National Research University Higher School of Economics |
Subject: | term structure | interest rates | credit risk | default intensity | liquidity premium | bond | credit default swap | risk premium |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in WP BRP Series: Financial Economics / FE, March 2013, pages 1-20 Number WP BRP 13/FE/2013 20 pages |
Classification: | C14 - Semiparametric and Nonparametric Methods ; G12 - Asset Pricing |
Source: |
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