The nonlinear dynamics of corporate bond spreads : regime-dependent effects of their determinants
Henning Fischer and Oscar Stolper
| Year of publication: |
2021
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|---|---|
| Authors: | Fischer, Henning ; Stolper, Oscar |
| Published in: |
Jahrbücher für Nationalökonomie und Statistik. - Berlin : De Gruyter Oldenbourg, ISSN 2366-049X, ZDB-ID 2416178-0. - Vol. 241.2021, 2, p. 187-238
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| Subject: | corporate bond spreads | regime dependency | Markov switching | vectorautoregression | credit spread puzzle | Unternehmensanleihe | Corporate bond | Zinsstruktur | Yield curve | Kreditrisiko | Credit risk | Markov-Kette | Markov chain | Schätzung | Estimation | Risikoprämie | Risk premium |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Research data: | |
| Other identifiers: | 10.1515/jbnst-2020-0002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012437805