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- W2263422836 abstract "We use a hierarchical factor model to study the behavior of yield curves derived from the market prices of corporate bonds issued by industrial companies and traded in the U.S. market. The sample is comprised by curves of different risk levels, which allows identifying four global forces and interpreting some of them as manifestations of flight to quality. The main contributions of this paper are detecting movements that can be assigned to flight to quality through a hierarchical factor model, an econometric tool not yet used in empirical studies about the phenomenon, and adding new insights to the literature about the driving factors of corporate curves." @default.
- W2263422836 created "2016-06-24" @default.
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- W2263422836 date "2009-01-01" @default.
- W2263422836 modified "2023-10-13" @default.
- W2263422836 title "Flight to Quality in a Hierarchical Factor Model" @default.
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- W2263422836 doi "https://doi.org/10.2139/ssrn.1556765" @default.
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