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Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/79084
Description: This paper investigates two important relationships using the sovereign issues made by major Latin American economies in the international bond market: the determinants of credit spread changes using ... More
Reviewed: Reviewed
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/14187
Description: This study applies a multivariate EGARCH model, developed from the closed-form valuation model of Longstaff and Schwartz (1995), to explain the time-varying volatility of credit spreads on AAA and AA ... More
Reviewed: Reviewed
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/13604
Description: We investigate the yield spread between the sovereign bonds issued in international markets by major Asia-Pacific issuers (China, Korea, Malaysia, Philippines and Thailand) and matched with near matur ... More
Date: 2003
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/79054
Description: Different approaches to forecasting the volatility associated with the credit spreads on Yen Eurobonds are investigated. The actual volatility, historical volatility and estimated conditional volatili ... More
Reviewed: Reviewed
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