We develop a structural bond pricing approach and implement it on a large panel of US industrial bonds using an … form models. Furthermore, our analysis provide evidence that bond yield spreads incorporate a substantial liquidity … spreads ; default ; structural bond pricing models …

strongly suggest that domestic and foreign bond investors assessed different sovereign risks whereas more standard explanations …

the existence of these general quadratic term structures for bond, futures and forward prices. As forward prices are … martingales under the T-forward measure, their term structure equation depends on properties of bond prices' term structure. We … exploit the connection with the bond prices term structure and show that even in quadratic short rate settings we can have …

martingale under the T-forward neutral measure, the zero coupon bond volatilities will enter into the drift part of the SDE for …