Credit spread changes within switching regimes
Year of publication: |
2014
|
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Authors: | Maalaoui Chun, Olfa ; Dionne, Georges ; François, Pascal |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 49.2014, C, p. 41-55
|
Publisher: |
Elsevier |
Subject: | Credit cycle | NBER economic cycle | Monetary cycle | Credit supply cycle | Markov switching regimes | Market risk | Liquidity risk |
Type of publication: | Article |
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Classification: | C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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Credit spread changes within switching regimes
Chun, Olfa Maalaoui, (2014)
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Credit Spread Changes within Switching Regimes
Maalaoui, Olfa, (2009)
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Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period
Dionne, Georges, (2013)
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Detecting regime shifts in credit spreads
Chun, Olfa Maalaoui, (2014)
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Credit spread changes within switching regimes
Chun, Olfa Maalaoui, (2014)
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Risk Management and Corporate Governance : The Importance of Independence and Financial Knowledge
Dionne, Georges, (2012)
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