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The term structure of interest rates under regime shifts and jumps

Wu, Shu; Zeng, Yong - In: Economics letters 93 (2006) 2, pp. 215-221

Persistent link: https://www.econbiz.de/10003391916

A general equilibrium model of the term structure of interest rates under regime-switching risk

Wu, Shu; Zeng, Yong - In: International journal of theoretical and applied finance 8 (2005) 7, pp. 839-870

Persistent link: https://www.econbiz.de/10003206512

An explicit, multi-factor credit default swap pricing model with correlated factors

Chen, Ren-Raw; Cheng, Xiaolin; Fabozzi, Frank J.; Liu, Bo - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 1, pp. 123-160

Persistent link: https://www.econbiz.de/10003692397

Pricing the term structure of inflation risk premia : theory and evidence from TIPS

Chen, Ren-Raw; Liu, Bo; Cheng, Xiaolin - In: Journal of empirical finance 17 (2010) 4, pp. 702-721

Persistent link: https://www.econbiz.de/10009267256

Optimal capital structure and credit spread under incomplete information

Liu, Bo; Liu, Yang; Peng, Juan; Yang, Jinqiang - In: International review of economics & finance : IREF 49 (2017), pp. 596-611

Persistent link: https://www.econbiz.de/10011748731

Liquidity and credit risks in the UK's financial crisis : how "quantitative easing" changed the relationship

Wong, Woon K.; Biefang-Frisancho Mariscal, Iris; Yao, Wanru - 2016

This paper investigates the relationship between credit and liquidity risk components in the UK interbank spread during the recent financial crisis and sheds light on the transmission mechanism of the quantitative easing (QE) carried out by the Bank of England on short term interest rates....

Persistent link: https://www.econbiz.de/10011688262

Liquidity and credit risks in the UK's financial crisis : how 'quantitative easing' changed the relationship

Wong, Woon K.; Biefang-Frisancho Mariscal, Iris; … - In: Applied economics 51 (2019) 3, pp. 278-287

Persistent link: https://www.econbiz.de/10012160500