A Multifactor Model of Credit Spreads

Ramaprasad Bhar () and Nedim Handzic ()

Asia-Pacific Financial Markets, 2011, vol. 18, issue 1, 105-127

Keywords: Credit spreads; Macroeconomic factors; Kalman filter; State space model (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10690-010-9123-3

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

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