NYU Faculty Digital Archive
metadata only
An Economeic Model of Credit Spreads with Rebalancing, ARCH and Jump Effects
In this paper, we examine the dynamic behavior of credit spreads on corporate bond portfolios. We propose an economeic model of credit spreads that incorporates portfolio rebalancing, the near unit root property of spreads, the autocorrelation in spread changes, the ARCH conditional heteroscedastici
Conceptio Open Archive
Analyze & explore related research in Conceptio
Connect this record directly into your research workflow or AI agent. Explore citations across open repositories, query full text, and export structured proof bundles.
This document is indexed with metadata only: full text is not available in the archive for this record. Open the official source ↗
Related documents
- The consistency of credit risk pricing in emerging market sovereign debt: the relationship between Bond prices and credit default swap spreads#938597
- Credit Spreads in the Market for Highly Leveraged Transaction Loans#942539
- Network Valuation in Euro Area Syndicated and Interbank Loan Markets#130803
- Capital Flows and the Global Collateral Cycle#167465
- Modeling Sovereign Yield Spreads: A Case Study of Russian Debt#942354
Record · ID 942577
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Bring this data into your agent: Connect via MCP or API · 20 free credits to start · no card required
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive