Regime switching in bond yield and spread dynamics
Year of publication: |
2013
|
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Authors: | Renne, Jean-Paul |
Other Persons: | Monfort, Alain (contributor) |
Institutions: | Université Paris-Dauphine (Paris IX) |
Subject: | Changements de régime | Structure par terme des taux d’intérêt | Écarts de taux d’intérêt | Risque de crédit | Risque de liquidité | Politique monétaire | Processus composé auto-régressif | Regime switching | Term structure of interest rates | Yield spreads | Credit risk | Liquidity risk | Monetary policy | Compound auto-regressive process |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | dissertation |
Classification: | G24 - Investment Banking; Venture Capital; Brokerage ; G12 - Asset Pricing ; E47 - Forecasting and Simulation ; E44 - Financial Markets and the Macroeconomy ; E43 - Determination of Interest Rates; Term Structure Interest Rates |
Source: |
-
Credit and Liquidity Risks in Euro-area Sovereign Yield Curves
Monfort, Alain, (2011)
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Default, liquidity and crises: an econometric framework
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Credit and liquidity risks in euro area sovereign yield curves
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Credit and liquidity risks in euro-area sovereign yield curves
Monfort, Alain, (2011)
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Default, liquidity and crises : an econometric framework
Monfort, Alain, (2011)
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Credit and liquidity risks in Euro-area sovereign yield curves
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