Empirical analysis of term structures of credit spreads indices: a Kalman filtering approach

Franck Moraux ()

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Keywords: term structures; credit spreads; Kalman filter; reduced form approach (search for similar items in EconPapers)
Date: 2003-11-01
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Published in 10e Rencontres Internationales de l'ACSEG, Nantes, Nov 2003, Nantes, France

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00093024

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