Huang, Ying; Neftci, Salih; Jersey, Ira - Henley Business School, University of Reading - 2002
This paper investigates the determinants of swap spreads. Compared with previous work done in this area, such as the seminal paper by Duffie and Singleton (1997), the paper includes daily credit spreads data in the time series framework. The issue is whether “liquidity” or “credit” (or...