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German Mittelstand bonds : yield spreads and liquidity
Utz, Sebastian; Weber, Martina; Wimmer, Maximilian - In: Journal of business economics : JBE 86 (2016) 1/2, pp. 103-129
Persistent link: https://www.econbiz.de/10011666880
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Credit spreads between German and Italian medium term zero coupon government bonds : empirical assessment of a three-factor defaultable term structure model
Schmid, Bernd; Kalemanova, Anna - In: Financial risk and financial risk management, (pp. 497-533). 2002
Persistent link: https://www.econbiz.de/10001755661
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Credit spreads : an empirical analysis on the informational content of stocks, bonds, and CDS
Forte, Santiago; Peña Sánchez de Rivera, Juan Ignacio - In: Journal of banking & finance 33 (2009) 11, pp. 2013-2025
Persistent link: https://www.econbiz.de/10003892177
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The loan-bond spread as a predictor of real economic activity : evidences from 20 European countries
Lee, Sang Hoon; Haque, Mohammad Mujibul - In: Journal of international business and economics : JIBE 12 (2012) 4, pp. 17-27
Persistent link: https://www.econbiz.de/10009787237
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Credit Spreads : An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS
Forte, Santiago - 2012
This paper explores the dynamic relationship between stock market implied credit spreads, CDS spreads, and bond spreads. A general VECM representation is proposed for changes in the three credit spread measures which accounts for zero, one, or two independent cointegration equations, depending...
Persistent link: https://www.econbiz.de/10012755686
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Explaining the increased German credit spread : the role of supply factors
Brown, Alessio J. G.; Žarnić, Žiga - 2003
empirical estimation is conducted using an Error Correction Model (ECM) for a dataset of monthly time series from 1970 to 2003 …
Persistent link: https://www.econbiz.de/10010485421
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Explaining the increased German credit spread : the role of supply factors
Brown, Alessio J. G.; Žarnic, Žiga - 2003
Persistent link: https://www.econbiz.de/10002047985
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The joint estimation of term structures and credit spreads
Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - 1999
We present a new framework for the joint estimation of the default-free government term structure and corporate credit …
Persistent link: https://www.econbiz.de/10011301164
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Die Risikostruktur von Industrieanleihen : eine ökonometrische Untersuchung unter Verwendung ordinaler Kredit-Ratings
Tessin, Peter von - 1999
Persistent link: https://www.econbiz.de/10001370932
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The Jarrow/Turnbull Default Risk Model Evidence from the German Market
Sögner, Leopold - 2018
cross-sectional estimation. We cannot Infer a significant Influence of liquidity on the default intensities. We show that … the term structure estimation are passed on to the Jarrow/Turnbull model and that estimated default intensities strongly … depend on the estimation period and on the bond used for estimation. This result strongly supports separate estimation over …
Persistent link: https://www.econbiz.de/10012923107