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- W2008804978 abstract "Abstract This paper can be considered as a new perspective to analyse credit spreads. We follow a time-series approach revealing the forces driving credit spread changes and volatility. Specifically, we aim to identify the process that describes the dynamic evolution of credit spreads on the sterling Eurobond index in the period 1991–1999. The time-series properties of credit spreads provide strong evidence of nonlinearities and high levels of intertemporal dependence in the credit spread generating process. We introduce time-varying volatility models to capture the persistence in the conditional variance of credit spreads. To our knowledge, autoregressive conditional heteroskedastic models (ARCH and GARCH) have never been applied to credit spreads." @default.
- W2008804978 created "2016-06-24" @default.
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- W2008804978 date "2002-01-01" @default.
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- W2008804978 title "Modeling credit spreads" @default.
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- W2008804978 doi "https://doi.org/10.1016/s1057-5219(02)00074-1" @default.
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