Credit Spread Modeling: Macro-financial versus HOC Approach
The aim of this paper is to throw light on the relationship between credit spread changes and past changes of U.S. macro-financial variables when invariants do not have Gaussian distribution. The first part presents the empirical analysis which is based on 10-year AAA corporate bond yields and 10-ye...
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| Format: | Article |
| Language: | English |
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Institute of Economic Sciences
2014-12-01
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| Series: | Economic Analysis |
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| Online Access: | http://www.library.ien.bg.ac.rs/index.php/ea/article/view/298/294 |