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Date: 2006
Subject Keyword: credit spreads | volatility
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
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Date: 2005
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/76599
Description: This paper examines the equilibrium implications of the Expectations Hypothesis of term structure to different maturities of high-grade Australian dollar denominated Eurobonds and Australian Governmen... More
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