Bada, Oualid; Kneip, Alois - 2010 - This version: October 19, 2010
risk premia in the bond market. In order to estimate the dimensionality of the hidden risk factors jointly with the model … confirms the presence of four common risk components affecting the U.S. corporate bonds during the period between September … 2006 and March 2008. However, one single risk factor is sufficient to describe the data for all time periods prior to mid …
