A Multifactor Model of Credit Spreads
Ramaprasad Bhar () and
Nedim Handzic ()
Asia-Pacific Financial Markets, 2011, vol. 18, issue 1, pages 105-127
Keywords: Credit spreads; Macroeconomic factors; Kalman filter; State space model (search for similar items in EconPapers)
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Persistent link: http://EconPapers.repec.org/RePEc:kap:apfinm:v:18:y:2011:i:1:p:105-127
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