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- W3122565306 abstract "We extend the study of Ben Dor, Dynkin, Hyman, Houweling, Leeuwen and Penninga [2007] on the behaviour of corporate bond spreads to the realm of credit default swaps using a new estimation technique. The quasi-maximum likelihood approach we employ can accommodate the stochastic nature of the relation between spread volatility and spread level. Consistent with the results for corporate bonds, we find support for a linear relationship between spread volatility and spread level with some evidence of non-linear effects. <b>TOPICS:</b>Fixed income and structured finance, statistical methods, credit default swaps" @default.
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- W3122565306 date "2007-03-31" @default.
- W3122565306 modified "2023-10-15" @default.
- W3122565306 title "DTS<sup>SM</sup> (Duration Times Spread) for CDS" @default.
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- W3122565306 doi "https://doi.org/10.3905/jfi.2007.683316" @default.
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