Credit spreads in illiquid markets : model and implementation
Year of publication: |
2012
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Authors: | Cortazar, Gonzalo ; Schwartz, Eduardo S. ; Tapia Figueroa, Claudio Andrés |
Published in: |
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets. - Philadelphia, Pa. : Routledge Taylor & Francis Group, ISSN 1540-496X, ZDB-ID 2089472-7. - Vol. 48.2012, 6, p. 53-72
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Subject: | bond spreads | emerging markets | Kalman filter | Zinsstruktur | Yield curve | Schwellenländer | Emerging economies | Zustandsraummodell | State space model | Theorie | Theory | Risikoprämie | Risk premium | Öffentliche Anleihe | Public bond | Kreditrisiko | Credit risk | Unternehmensanleihe | Corporate bond | Anleihe | Bond |
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