Diversification with idiosyncratic credit spreads: a pooled estimation on heterogeneous panels
Year of publication: |
2006-09
|
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Authors: | Lin, William ; Sun, David |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | bond pricing | credit spread | diversifiable risk | cointegration | heterogeneous panels | pooled mean group estimation |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in Taiwan Banking and Finance Quarterly 8.2(2007): pp. 1-24 |
Classification: | C32 - Time-Series Models ; G13 - Contingent Pricing; Futures Pricing ; E40 - Money and Interest Rates. General ; E21 - Consumption; Saving ; G33 - Bankruptcy; Liquidation |
Source: |
-
Long run credit risk diversification: empirical decomposition of corporate bond spreads
Sun, David, (2007)
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Diversification with Idiosyncratic Credit Spreads : A Pooled Estimation on Heterogeneous Panels
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