Maalaoui Chun, Olfa; Dionne, Georges; François, Pascal - In: Journal of Banking & Finance 49 (2014) C, pp. 41-55
Empirical studies on credit spread determinants are predicated on the presence of a single-regime over the entire sample period and thus find limited explanatory power. A single-regime model hides the fact that explanatory variables take on different loadings across changing patterns in credit...