An Empirical Investigation in Credit Spread Indices.

We study the dynamics of the spread between U.S. corporate and Treasury bonds. We focus on Aaa and Baa corporate yield indices and estimate nonparametrically the dynamics of the spreads assuming that they follow a univariate diffusion process.

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Year of publication:	2000
Authors:	Prigent, J.L. ; Renault, O. ; Scaillet, O.
Subject:	CREDIT \| RISK \| MANAGEMENT

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Type of publication:	Book / Working Paper
Notes:	40 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; E40 - Money and Interest Rates. General ; G20 - Financial Institutions and Services. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005671517