1. Demand-and-supply imbalance risk and long-term swap spreads. (2024). Venter, Gyuri ; Malkhozov, Aytek ; Hanson, Samuel G.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x24000370.

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2. The Term Structure of Covered Interest Rate Parity Violations. (2024). Song, Dongho ; Chernov, Mikhail ; Schmid, Lukas ; Augustin, Patrick.
   In: Journal of Finance.
   RePEc:bla:jfinan:v:79:y:2024:i:3:p:2077-2114.

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3. A monetary policy–based explanation of swap spreads in China. (2023). Hou, Xin ; Fan, Longzhen ; Sun, Qian.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1645-1667.

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4. Incomplete Information, Debt Issuance, and the Term Structure of Credit Spreads. (2023). Goldstein, Robert ; Garlappi, Lorenzo ; Benzoni, Luca.
   In: Management Science.
   RePEc:inm:ormnsc:v:69:y:2023:i:7:p:4331-4352.

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5. Corporate bond liquidity and yield spreads: A review. (2023). Namin, Elmira Shekari ; Goldstein, Michael A.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:65:y:2023:i:c:s027553192300051x.

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6. Hedging demand and near-zero swap spreads: Evidence from the Chinese interest rate swap market. (2023). Shang, Yuhuang ; Zhu, Chunhui ; Li, Shaoyu.
   In: The Quarterly Review of Economics and Finance.
   RePEc:eee:quaeco:v:91:y:2023:i:c:p:170-185.

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7. A comparative study of firm value models: Default risk of corporate bonds. (2023). Ik, Sung.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004099.

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9. The dynamics of rating based credit benchmark curves. (2022). Schlamann, Sara ; Heidorn, Thomas.
   In: Frankfurt School - Working Paper Series.
   RePEc:zbw:fsfmwp:231.

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10. Determinants of Interest rate swap spreads: A quantile regression approach. (2022). Tah, Kenneth A.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:46:y:2022:i:3:d:10.1007_s12197-022-09574-y.

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11. Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium*. (2022). Pancost, Aaron N ; Damico, Stefania.
    In: Review of Finance.
    RePEc:oup:revfin:v:26:y:2022:i:1:p:117-162..

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12. Corporate bond yields and returns: a survey. (2022). Heck, Stephanie.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:36:y:2022:i:2:d:10.1007_s11408-021-00394-4.

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13. Demand-supply imbalance risk and long-term swap spreads. (2022). Venter, Gyuri ; Malkhozov, Aytek ; Hanson, Samuel.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:118868.

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14. An analysis of objective inflation expectations and inflation risk premia. (2022). Pericoli, Marcello ; Grasso, Adriana ; Cecchetti, Sara.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1380_22.

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18. The role of time?varying risk premia in international interbank markets. (2021). Karouzakis, Nikolaos.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5720-5745.

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19. The talkative variables of the hybrid Heston model: Yields’ maturity and economic (in)stability. (2021). Recchioni, Maria Cristina ; Tedeschi, Gabriele ; Campigli, Francesco.
    In: Working Papers.
    RePEc:jau:wpaper:2021/03.

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20. Explaining the risk premiums of life settlements. (2021). Wang, Jennifer L ; Tsai, Chenghsien Jason ; Peng, Jin-Lung ; Hsieh, Ming-Hua ; Kung, Ko-Lun.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21000810.

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21. Benchmark interest rates when the government is risky. (2021). Chernov, Mikhail ; Song, D ; Schmid, L ; Augustin, P.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:140:y:2021:i:1:p:74-100.

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22. Modelling of Chinese corporate bond default – A machine learning approach. (2021). Zhuo, Zhuyao ; Lu, Zhou.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:61:y:2021:i:5:p:6147-6191.

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23. A No-Arbitrage Perspective on Global Arbitrage Opportunities. (2020). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick ; Schmid, Lukas.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:27231.

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24. The dynamics of sovereign yields over swap rates in the Eurozone market. (2020). Galil, Koresh ; David-Pur, Lior ; Rosenboim, Mosi.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302222.

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25. Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads. (2020). Tsuruta, Masaru.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818306818.

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26. The term structure of CIP violations. (2020). Chernov, Mikhail ; Song, Dongo ; Schmid, Lukas ; Augustin, Patrick.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14774.

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27. A martingale representation theorem and valuation of defaultable securities. (2020). Vanmaele, Michele ; Daveloose, Catherine ; Choulli, Tahir.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:30:y:2020:i:4:p:1527-1564.

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28. Pricing Interest Rate Swap Subject to Bilateral Counterparty Risk. (2019). Xiao, Tim.
    In: MPRA Paper.
    RePEc:pra:mprapa:94233.

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29. Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment. (2019). Xiao, Tim.
    In: MPRA Paper.
    RePEc:pra:mprapa:94135.

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30. Benchmark Interest Rates When the Government is Risky. (2019). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick ; Schmid, Lukas.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:26429.

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31. Is CEO pay disparity relevant to seasoned bondholders?. (2019). Lee, Chun I ; Huang, Henry H.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:64:y:2019:i:c:p:271-289.

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32. Pricing factors in multiple-term structures from interbank rates. (2019). Lafuente, Juan Angel ; Serrano, Pedro ; Petit, Nuria.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:91:y:2019:i:c:p:138-159.

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33. Counterparty credit risk and derivatives pricing. (2019). Zhang, Chu ; Li, Gang.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:134:y:2019:i:3:p:647-668.

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34. Two frameworks for pricing defaultable derivatives. (2019). Kounchev, Ognyan ; Zaevski, Tsvetelin S ; Savov, Mladen .
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:123:y:2019:i:c:p:309-319.

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35. Benchmark interest rates when the government is risky. (2019). Schmid, Lukas ; Chernov, Mikhail ; Augustin, Patrick ; Song, Dongo .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14105.

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36. Measuring Sovereign Risk: Are CDS Spreads Better than Sovereign Credit Ratings?. (2019). Lawrence, Edward R ; Dandapani, Krishnan ; Rodriguez, Ivan M.
    In: Financial Management.
    RePEc:bla:finmgt:v:48:y:2019:i:1:p:229-256.

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37. Systemic risk spillovers in sovereign credit default swaps in Europe: a spatial approach. (2018). Mili, Mehdi.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:19:y:2018:i:2:d:10.1057_s41260-017-0068-1.

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38. Empirical performance of Gaussian affine dynamic term structure models in the presence of autocorrelation misspecification bias. (2018). Juneja, Januj.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:50:y:2018:i:3:d:10.1007_s11156-017-0643-z.

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39. Tempered stable structural model in pricing credit spread and credit default swap. (2018). Kim, Young Shin ; Ik, Sung.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9135-5.

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40. Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach. (2018). Pacelli, Graziella ; Ballestra, Luca Vincenzo ; Andreoli, Alessandro.
    In: Computational Economics.
    RePEc:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9608-x.

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41. Can Risk Models Extract Inflation Expectations from Financial Market Data? Evidence from the Inflation Protected Securities of Six Countries. (2018). Tortorice, Daniel ; Kita, Arben .
    In: Working Papers.
    RePEc:hcx:wpaper:1801.

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42. The housing market and the credit default swap premium in the UK banking sector: A VAR approach. (2018). Benbouzid, Nadia ; Pilbeam, Keith ; Mallick, Sushanta.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:44:y:2018:i:c:p:1-15.

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43. The eurozone (expected) inflation: An options eyes view. (2018). Ibáñez, Alfredo ; Gimeno, Ricardo ; Ibaez, Alfredo.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:86:y:2018:i:c:p:70-92.

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44. Can Islamic banks have their own benchmark?. (2018). Azad, A. S. M. S., ; Ahsan, Amirul ; Chazi, Abdelaziz ; Azmat, Saad.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:35:y:2018:i:c:p:120-136.

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45. An explanation of negative swap spreads: demand for duration from underfunded pension plans. (2018). Sundaresan, Suresh ; Klingler, Sven.
    In: BIS Working Papers.
    RePEc:bis:biswps:705.

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46. .

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47. Optional Defaultable Markets. (2017). Melnikov, Alexander V ; Abdelghani, Mohamed N.
    In: Risks.
    RePEc:gam:jrisks:v:5:y:2017:i:4:p:56-:d:115997.

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48. Estimating the Tax and Credit-Event Risk Components of Credit Spreads. (2017). Benzoni, Luca ; Goldstein, Robert S.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-2017-17.

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49. Pricing credit default swaps under a multi-scale stochastic volatility model. (2017). Chen, Wenting .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:468:y:2017:i:c:p:425-433.

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50. Covered interest parity deviation and counterparty default risk: U.S. Dollar/Korean Won FX swap market. (2017). Kim, Don H ; Ho, Young ; Choi, Hanbok ; Jang, Woon Wook .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:44:y:2017:i:c:p:47-63.

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51. Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data. (2016). Han, Song ; Zhou, Hao.
    In: Quarterly Journal of Finance (QJF).
    RePEc:wsi:qjfxxx:v:06:y:2016:i:03:n:s2010139216500129.

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52. Do Rare Events Explain CDX Tranche Spreads?. (2016). Wachter, Jessica ; Seo, Sang Byung .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:22723.

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53. Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities. (2016). Longstaff, Francis ; Chernov, Mikhail ; Dunn, Brett R.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:22096.

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54. Identification and semiparametric estimation of a finite horizon dynamic discrete choice model with a terminating action. (2016). Park, Minjung ; Nekipelov, Denis ; Chu, Chenghuan Sean ; Bajari, Patrick.
    In: Quantitative Marketing and Economics (QME).
    RePEc:kap:qmktec:v:14:y:2016:i:4:d:10.1007_s11129-016-9176-3.

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55. Liquidity in Credit Default Swap Markets. (2016). Arakelyan, Armen ; Serrano, Pedro.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:37-38:y:2016:i::p:139-157.

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56. Stochastic correlation and risk premia in term structure models. (2016). Chiarella, Carl ; To, Thuy-Duong ; Hsiao, Chih-Ying.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:37:y:2016:i:c:p:59-78.

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57. Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities. (2016). Chernov, Mikhail ; Dunn, Brett R ; Longstaff, Francis .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10947.

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58. Counter-Credit-Risk Yield Spreads: A Puzzle in Chinas Corporate Bond Market. (2016). Luo, Jian ; Hu, May ; Ye, Xiaoxia .
    In: International Review of Finance.
    RePEc:bla:irvfin:v:16:y:2016:i:2:p:203-241.

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59. Derivatives Markets: From Bank Risk Management to Financial Stability. (2015). Vuillemey, Guillaume.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/5vh0dnv2h79qa9t6a9b2u2idns.

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60. An evaluation of alternative methods used in the estimation of Gaussian term structure models. (2015). Juneja, Januj.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:44:y:2015:i:1:p:1-24.

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61. Credit risk and contagion via self-exciting default intensity. (2015). Shen, Jia ; Elliott, Robert.
    In: Annals of Finance.
    RePEc:kap:annfin:v:11:y:2015:i:3:p:319-344.

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62. The reward for trading illiquid maturities in credit default swap markets. (2015). Arakelyan, Armen ; Serrano, Pedro ; Rubio, Gonzalo.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:376-389.

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63. On the compensation for illiquidity in sovereign credit markets. (2015). Lafuente, Juan Angel ; Serrano, Pedro.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:30:y:2015:i:c:p:83-100.

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64. What determines the yen swap spread?. (2015). Batten, Jonathan ; Azad, A.S.M. ; Fang, Victor ; Azad, A. S. M. Sohel, .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:40:y:2015:i:c:p:1-13.

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65. An Intertemporal CAPM with Stochastic Volatility. (2015). Polk, Christopher ; Giglio, Stefano ; Campbell, John ; Turley, Robert .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10681.

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66. Exchange rates, expected returns and risk: what can we learn from Asia-Pacific currencies?. (2015). Munro, Anella.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:82-09.

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67. Liability-side Pricing of Swaps and Coherent CVA and FVA by Regression/Simulation. (2015). Lou, Wujiang .
    In: Papers.
    RePEc:arx:papers:1512.07340.

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68. Exchange rates, expected returns and risk. (2014). Munro, Anella.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2014/01.

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69. Credit Default Swaps: A Survey. (2014). Tang, Dragon Yongjun ; Wang, Sarah Qian ; Augustin, Patrick ; Subrahmanyam, Marti G..
    In: Foundations and Trends(R) in Finance.
    RePEc:now:fntfin:0500000040.

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70. Nonlinear Kalman Filtering in Affine Term Structure Models. (2014). Christoffersen, Peter ; Karoui, Lotfi ; Jacobs, Kris ; Dorion, Christian.
    In: Management Science.
    RePEc:inm:ormnsc:v:60:y:2014:i:9:p:2248-2268.

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71. Exchange rates, expected returns and risk: UIP unbound. (2014). Munro, Anella.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2014-73.

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72. The pricing of credit default swaps under a generalized mixed fractional Brownian motion. (2014). Chen, Wenting .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:404:y:2014:i:c:p:26-33.

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73. The determinants of recovery rates in the US corporate bond market. (2014). Nagler, Florian ; Jankowitsch, Rainer ; Subrahmanyam, Marti G..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:114:y:2014:i:1:p:155-177.

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74. Corporate bond prices and idiosyncratic risk: Evidence from Australia. (2014). Hung, Chi-Hsiou ; Fang, Victor.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:33:y:2014:i:c:p:99-114.

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75. On the compensation for illiquidity in sovereign credit markets. (2014). Groba, Jonatan ; Serrano, Pedro ; Lafuente, Juan Angel.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb142911.

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76. La Estructura a Plazos del Riesgo Interbancario. (2014). Guillermo Andres Cangrejo Jimenez, .
    In: DOCUMENTOS DE TRABAJO.
    RePEc:col:000092:012172.

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77. Deflation Risk. (2013). Lustig, Hanno ; Longstaff, Francis ; Fleckenstein, Matthias.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19238.

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78. Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities. (2013). Chung, Tsz-Kin ; Hui, Cho-Hoi ; Lo, Chi-Fai.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:20:y:2013:i:2:p:131-146.

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79. Systemic sovereign credit risk: Lessons from the U.S. and Europe. (2013). Ang, Andrew ; Longstaff, Francis A..
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:60:y:2013:i:5:p:493-510.

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80. The term structure of interbank risk. (2013). Trolle, Anders B. ; Filipovi, Damir.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:109:y:2013:i:3:p:707-733.

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81. Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis. (2013). Lo, Chi-Fai ; Lau, Chun-Sing ; Hui, Cho-Hoi.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:9:p:3694-3703.

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82. Determinants of credit spreads: The role of ambiguity and information uncertainty. (2013). Guo, Liang.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:24:y:2013:i:c:p:279-297.

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83. Determinants of bank credit default swap spreads: The role of the housing sector. (2013). Mallick, Sushanta ; Benbouzid, Nadia.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:24:y:2013:i:c:p:243-259.

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84. An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach. (2012). In, Francis ; Kim, Sang Bae.
    In: World Scientific Books.
    RePEc:wsi:wsbook:8431.

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85. A vector-autoregression analysis of credit and liquidity factor dynamics in US LIBOR and Euribor swap markets. (2012). Murphy, Finbarr.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:36:y:2012:i:2:p:351-370.

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86. A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets. (2012). Shaliastovich, Ivan ; Bansal, Ravi .
    In: 2012 Meeting Papers.
    RePEc:red:sed012:778.

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87. The Impact of the World Financial Crisis on the Polish Interbank Market: A Swap Spread Approach. (2012). Puciennik, Piotr.
    In: Central European Journal of Economic Modelling and Econometrics.
    RePEc:psc:journl:v:4:y:2012:i:4:p:269-288.

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88. A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets. (2012). Bansal, Ravi ; Shaliastovich, Ivan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18357.

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89. The effects of volatility spillover in the US basis swap markets. (2012). Malhotra, D. K. ; Bhargava, Vivek.
    In: International Journal of Financial Services Management.
    RePEc:ids:ijfsmg:v:5:y:2012:i:3:p:216-238.

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90. Forecasting Term Structure of HIBOR Swap Rates. (2012). Tai, Shih-Wen ; Kuo, Mei-Mei ; Lin, Bing-Huei.
    In: The International Journal of Business and Finance Research.
    RePEc:ibf:ijbfre:v:6:y:2012:i:4:p:87-100.

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91. On bounding credit event risk premia. (2012). Helwege, Jean ; Goldstein, Robert S. ; Collin-Dufresne, Pierre ; Bai, Jennie.
    In: Staff Reports.
    RePEc:fip:fednsr:577.

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92. Counterparty credit risk and the credit default swap market. (2012). Gandhi, Priyank ; Arora, Navneet ; Longstaff, Francis A..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:103:y:2012:i:2:p:280-293.

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93. Quantifying credit and market risk under Solvency II: Standard approach versus internal model. (2012). Martin, Michael ; Gatzert, Nadine.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:51:y:2012:i:3:p:649-666.

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94. Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach. (2012). Volkmer, Hans W. ; Feng, Runhuan.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:51:y:2012:i:2:p:409-421.

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95. Term structure models and the zero bound: An empirical investigation of Japanese yields. (2012). Singleton, Kenneth ; Kim, Don H..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:170:y:2012:i:1:p:32-49.

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96. Fiscal Imbalances and Borrowing Costs: Evidence from State Investment Losses. (2012). Novy-Marx, Robert ; Rauh, Joshua D..
    In: American Economic Journal: Economic Policy.
    RePEc:aea:aejpol:v:4:y:2012:i:2:p:182-213.

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97. Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility. (2011). Maina, Samuel Chege .
    In: PhD Thesis.
    RePEc:uts:finphd:5.

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98. Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility. (2011). Maina, Samuel Chege .
    In: PhD Thesis.
    RePEc:uts:finphd:1-2011.

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99. Flexing the default barrier. (2011). Schneider, Paul ; Vea, Tanja ; Dorfleitner, Gregor.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2011:i:12:p:1729-1743.

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100. The euro areas common default risk: Evidence on the Commissions impact on European fiscal affairs. (2011). Fahrholz, Christian.
     In: European Union Politics.
     RePEc:sae:eeupol:v:12:y:2011:i:4:p:507-528.

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101. Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle. (2011). Lustig, Hanno.
     In: 2011 Meeting Papers.
     RePEc:red:sed011:1443.

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102. Statistical merging of rating models. (2011). Giudici, Paolo ; Figini, S.
     In: Journal of the Operational Research Society.
     RePEc:pal:jorsoc:v:62:y:2011:i:6:d:10.1057_jors.2010.41.

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103. Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe. (2011). Longstaff, Francis ; Ang, Andrew.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:16982.

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104. A Multifactor Model of Credit Spreads. (2011). .
     In: Asia-Pacific Financial Markets.
     RePEc:kap:apfinm:v:18:y:2011:i:1:p:105-127.

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105. Subprime mortgage default. (2011). Kau, James ; Slawson, Carlos V. ; Keenan, Donald C. ; Lyubimov, Constantine .
     In: Journal of Urban Economics.
     RePEc:eee:juecon:v:70:y:2011:i:2-3:p:75-87.

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106. Who makes on-the-run Treasuries special?. (2011). Graveline, Jeremy J. ; McBrady, Matthew R..
     In: Journal of Financial Intermediation.
     RePEc:eee:jfinin:v:20:y:2011:i:4:p:620-632.

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107. Corporate bond default risk: A 150-year perspective. (2011). Longstaff, Francis A. ; Schaefer, Stephen ; Giesecke, Kay ; Strebulaev, Ilya .
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:102:y:2011:i:2:p:233-250.

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108. Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate. (2011). Jarrow, Robert.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:8:y:2011:i:1:p:2-7.

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109. Credit Spread Changes and Equity Volatility: Evidence from Daily Data. (2011). Hibbert, Ann Marie ; Dandapani, Krishnan ; Barber, Joel ; Pavlova, Ivelina.
     In: The Financial Review.
     RePEc:bla:finrev:v:46:y:2011:i:3:p:357-383.

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110. Alternative measures of liquidity on the Chilean government fixed income market. (2011). Ahumada, Luis Antonio ; Hernandez, Nicolas Alvarez .
     In: IFC Bulletins chapters.
     RePEc:bis:bisifc:34-25.

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111. Convertible Bonds: Default Risk and Uncertain Volatility. (2010). Huang, Haishi .
     In: Bonn Econ Discussion Papers.
     RePEc:zbw:bonedp:092010.

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112. Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility. (2010). Nikitopoulos-Sklibosios, Christina ; Chiarella, Carl ; Maina, Samuel Chege .
     In: Research Paper Series.
     RePEc:uts:rpaper:283.

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113. Liquidity spreads in the corporate bondmarket: Estimation using a semi-parametric model. (2010). Chang, Jung Hsien ; Hung, Maowei.
     In: Journal of Applied Statistics.
     RePEc:taf:japsta:v:37:y:2010:i:3:p:359-374.

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114. Modelling Time-varying Bond Risk Premia for Utilities Industry. (2010). Chadwick, Meltem.
     In: MPRA Paper.
     RePEc:pra:mprapa:75840.

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115. Exploring Determinant Factors of Bond Trading with Inventory Management Theory (Case Study of Indonesian Capital Market, January – March 2009). (2010). Wahyudi, Imam ; Robbi, Abdu .
     In: MPRA Paper.
     RePEc:pra:mprapa:59883.

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116. Panel Data Models with Unobserved Multiple Time- Varying Effects to Estimate Risk Premium of Corporate Bonds. (2010). Kneip, Alois ; Bada, Oualid .
     In: MPRA Paper.
     RePEc:pra:mprapa:26006.

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117. Credit Derivatives. (2010). Giandomenico, Rossano ; Giandomenico, Research Fellow, Rossano.
     In: MPRA Paper.
     RePEc:pra:mprapa:21793.

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118. Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle. (2010). Lustig, Hanno ; Longstaff, Francis ; Fleckenstein, Matthias.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:16358.

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119. Corporate Bond Default Risk: A 150-Year Perspective. (2010). Strebulaev, Ilya ; Longstaff, Francis ; Schaefer, Stephen ; Giesecke, Kay .
     In: NBER Working Papers.
     RePEc:nbr:nberwo:15848.

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120. Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs.. (2010). Helwege, Jean ; Goldstein, Robert S. ; Collin-Dufresne, Pierre.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:15733.

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121. An empirical analysis of alternative recovery risk models and implied recovery rates. (2010). Zhang, Frank.
     In: Review of Derivatives Research.
     RePEc:kap:revdev:v:13:y:2010:i:2:p:101-124.

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122. The behavior of emerging market sovereigns credit default swap premiums and bond yield spreads. (2010). Song, Jeong ; Adler, Michael .
     In: International Journal of Finance & Economics.
     RePEc:ijf:ijfiec:v:15:y:2010:i:1:p:31-58.

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123. CREDIT RISK MODELS: AN ANALYSIS OF DEFAULT CORRELATION. (2010). Xie, Yan Alice ; Liu, Sheen ; Qi, Howard.
     In: The International Journal of Business and Finance Research.
     RePEc:ibf:ijbfre:v:4:y:2010:i:1:p:37-49.

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124. Reduced-form valuation of callable corporate bonds: Theory and evidence. (2010). LI, HAITAO ; Jarrow, Robert ; Wu, Chunchi ; Liu, Sheen.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:95:y:2010:i:2:p:227-248.

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125. Bank loan recovery rates: Measuring and nonparametric density estimation. (2010). Zenga, Michele ; Calabrese, Raffaella.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:34:y:2010:i:5:p:903-911.

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126. Impact of credit spreads, monetary policy and convergence trading on swap spreads. (2010). Chung, Hon-Lun ; Chan, Wai-Sum.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:19:y:2010:i:2:p:118-126.

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127. The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market. (2010). Frhwirth, Manfred ; Sgner, Leopold ; Schneider, Paul.
     In: European Financial Management.
     RePEc:bla:eufman:v:16:y:2010:i:4:p:658-685.

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128. Onshore spread and swap spread: Chilean money market liquidity indicators. (2010). Alarcon, Felipe ; Malandre, Nicolas .
     In: IFC Bulletins chapters.
     RePEc:bis:bisifc:33-45.

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129. Time-varying credit risk and liquidity premia in bond and CDS markets. (2009). Trapp, Monika ; Buhler, Wolfgang .
     In: CFR Working Papers.
     RePEc:zbw:cfrwps:0913.

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130. Asset Liability Management in Insurance Company. (2009). Giandomenico, Rossano ; Giandomenico, Research Fellow, Rossano.
     In: MPRA Paper.
     RePEc:pra:mprapa:16333.

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131. Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?. (2009). Longstaff, Francis.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:14687.

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132. Adaptive forecasting of the EURIBOR swap term structure. (2009). Blaskowitz, Oliver ; Herwartz, Helmut.
     In: Journal of Forecasting.
     RePEc:jof:jforec:v:28:y:2009:i:7:p:575-594.

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133. Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes. (2009). Wong, C. S. ; Chan, W. S. ; Chung, A. H. L., .
     In: Mathematics and Computers in Simulation (MATCOM).
     RePEc:eee:matcom:v:79:y:2009:i:9:p:2779-2786.

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134. Can interest rate volatility be extracted from the cross section of bond yields?. (2009). Jones, Christopher S. ; Goldstein, Robert S. ; Collin-Dufresne, Pierre.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:94:y:2009:i:1:p:47-66.

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135. Identifying volatility risk premia from fixed income Asian options. (2009). Vicente, José Valentim ; Almeida, Caio.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:33:y:2009:i:4:p:652-661.

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136. Saddlepoint approximations for affine jump-diffusion models. (2009). Kim, Kyoung-Kuk ; Glasserman, Paul.
     In: Journal of Economic Dynamics and Control.
     RePEc:eee:dyncon:v:33:y:2009:i:1:p:15-36.

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137. A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives. (2009). Wu, Liuren ; Heidari, Massoud .
     In: Journal of Financial and Quantitative Analysis.
     RePEc:cup:jfinqa:v:44:y:2009:i:03:p:517-550_99.

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138. Diferencias en Medidas de Compensación Inflacionaria y Swap Spread. (2009). Felipe Alarcon G. ., ; Bernier, Matias .
     In: Notas de Investigación Journal Economía Chilena (The Chilean Economy).
     RePEc:chb:bcchni:v:12:y:2009:i:1:p:105-116.

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139. A Non-Parametric Investigation of Risk Premia. (2009). Peroni, Chiara.
     In: Studies in Nonlinear Dynamics & Econometrics.
     RePEc:bpj:sndecm:v:13:y:2009:i:4:n:2.

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140. The determinants of option-adjusted delta credit spreads : a comparative analysis of the United States, the United Kingdom and the euro area. (2009). HASAN, IFTEKHAR ; Becchetti, Leonardo ; Carpentieri, Andrea .
     In: Research Discussion Papers.
     RePEc:bof:bofrdp:2009_034.

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141. Assessing the default risk by means of a discrete‐time survival analysis approach. (2008). Rocci, Roberto ; de Leonardis, Daniele.
     In: Applied Stochastic Models in Business and Industry.
     RePEc:wly:apsmbi:v:24:y:2008:i:4:p:291-306.

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142. The Aggregate Demand for Treasury Debt. (2008). Vissing-Jorgensen, Annette ; Krishnamurthy, Arvind.
     In: 2008 Meeting Papers.
     RePEc:red:sed008:713.

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143. Long run credit risk diversification: empirical decomposition of corporate bond spreads. (2008). Sun, David ; Nieh, Chien-Chung ; Lin, William.
     In: MPRA Paper.
     RePEc:pra:mprapa:37283.

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144. Leverage, options liabilities, and corporate bond pricing. (2008). Yildirim, Yildiray ; Huang, Henry.
     In: Review of Derivatives Research.
     RePEc:kap:revdev:v:11:y:2008:i:3:p:245-276.

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145. Credit Risk and the Term Structure of Lease Rates: A Reduced Form Approach. (2008). Yildirim, Yildiray ; Ambrose, Brent.
     In: The Journal of Real Estate Finance and Economics.
     RePEc:kap:jrefec:v:37:y:2008:i:3:p:281-298.

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146. Modeling the Dynamics of Credit Spreads with Stochastic Volatility. (2008). Jacobs, Kris ; Li, Xiaofei.
     In: Management Science.
     RePEc:inm:ormnsc:v:54:y:2008:i:6:p:1176-1188.

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147. A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure. (2008). Wu, Liuren ; Zhang, Frank Xiaoling.
     In: Management Science.
     RePEc:inm:ormnsc:v:54:y:2008:i:6:p:1160-1175.

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148. Adaptive Forecasting of the EURIBOR Swap Term Structure. (2008). Blaskowitz, Oliver ; Herwatz, Helmut.
     In: SFB 649 Discussion Papers.
     RePEc:hum:wpaper:sfb649dp2008-017.

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149. What Drives Hong Kong Dollar Swap Spreads: Credit or Liquidity?. (2008). Hui, Cho-Hoi ; Lam, Lillie .
     In: Working Papers.
     RePEc:hkg:wpaper:0810.

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150. Effects of liquidity on the nondefault component of corporate yield spreads: evidence from intraday transactions data. (2008). Zhou, Hao ; Han, Song.
     In: Finance and Economics Discussion Series.
     RePEc:fip:fedgfe:2008-40.

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151. Zero bound, option-implied PDFs, and term structure models. (2008). Kim, Don H..
     In: Finance and Economics Discussion Series.
     RePEc:fip:fedgfe:2008-31.

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152. Do macroeconomic variables matter for pricing default risk?. (2008). Yan, Alice Xie ; Shi, Jian ; Wu, Chunchi.
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:17:y:2008:i:2:p:279-291.

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153. Decomposing swap spreads. (2008). Lando, David ; Feldhutter, Peter.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:88:y:2008:i:2:p:375-405.

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154. Swap curve dynamics across markets: Case of US dollar versus HK dollar. (2008). Guo, Feng ; Huang, Ying ; Neftci, Salih N..
     In: Journal of International Financial Markets, Institutions and Money.
     RePEc:eee:intfin:v:18:y:2008:i:1:p:79-93.

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155. Modeling loan commitments. (2008). Jarrow, Robert ; Chava, Sudheer.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:5:y:2008:i:1:p:11-20.

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156. Extracting market expectations from yield curves augmented by money market interest rates: the case of Japan. (2008). Baba, Naohiko ; Nagano, Teppei .
     In: Working Paper Series.
     RePEc:ecb:ecbwps:2008980.

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157. Credit risk with semimartingales and risk-neutrality. (2008). Colino, Jesus P. ; Stute, Winfried.
     In: DES - Working Papers. Statistics and Econometrics. WS.
     RePEc:cte:wsrepe:ws085417.

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158. Macroeconomic Determinants of the Term Structure of Corporate Spreads. (2008). Yang, Jun.
     In: Staff Working Papers.
     RePEc:bca:bocawp:08-29.

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159. The effect of Fed monetary policy regimes on the US interest rate swap spreads. (2007). Chen, Carl R ; Huang, Ying.
     In: Review of Financial Economics.
     RePEc:wly:revfec:v:16:y:2007:i:4:p:375-399.

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160. US Corporate Default Swap Valuation: The Market Liquidity Hypothesis and Autonomous Credit Risk. (2007). Dunbar, Kwamie.
     In: Working papers.
     RePEc:uct:uconnp:2007-08.

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161. A non-parametric investigation of risk premia. (2007). Peroni, Chiara.
     In: MPRA Paper.
     RePEc:pra:mprapa:5126.

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162. Diversification with idiosyncratic credit spreads: a pooled estimation on heterogeneous panels. (2007). Sun, David ; Lin, William.
     In: MPRA Paper.
     RePEc:pra:mprapa:37288.

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163. Liquidity-adjusted benchmark yield curves: a look at trading concentration and information. (2007). Sun, David ; Lin, William.
     In: MPRA Paper.
     RePEc:pra:mprapa:37282.

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164. The Demand for Treasury Debt. (2007). Vissing-Jorgensen, Annette ; Krishnamurthy, Arvind.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:12881.

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165. Forecasting interest rate swap spreads using domestic and international risk factors: evidence from linear and non-linear models. (2007). Panagiotidis, Theodore ; Milas, Costas ; Lekkos, Ilias .
     In: Journal of Forecasting.
     RePEc:jof:jforec:v:26:y:2007:i:8:p:601-619.

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166. Term-structure estimation in markets with infrequent trading. (2007). Schwartz, Eduardo S. ; Naranjo, Lorenzo F. ; Cortazar, Gonzalo.
     In: International Journal of Finance & Economics.
     RePEc:ijf:ijfiec:v:12:y:2007:i:4:p:353-369.

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167. Copula-Based Default Dependence Modelling: Where Do We Stand?. (2007). luciano, elisa.
     In: ICER Working Papers - Applied Mathematics Series.
     RePEc:icr:wpmath:21-2007.

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168. Unit Roots in Inflation and Aggregation Bias. (2007). Montagnoli, Alberto ; Kontonikas, Alexandros ; Byrne, Joseph.
     In: Working Papers.
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169. The effect of Fed monetary policy regimes on the US interest rate swap spreads. (2007). Chen, Carl R. ; Huang, Ying.
     In: Review of Financial Economics.
     RePEc:eee:revfin:v:16:y:2007:i:4:p:375-399.

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170. Volatility spillovers across international swap markets: The US, Japan, and the UK. (2007). In, Francis.
     In: Journal of International Money and Finance.
     RePEc:eee:jimfin:v:26:y:2007:i:3:p:329-341.

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171. Modelling multiple term structures of defaultable bonds with common and idiosyncratic state variables. (2007). Lekkos, Ilias .
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:14:y:2007:i:5:p:783-817.

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172. Diffusion Processes with Polynomial Eigenfunctions. (2007). Renault, Eric ; gourieroux, christian ; Valery, Pascale .
     In: Annals of Economics and Statistics.
     RePEc:adr:anecst:y:2007:i:85:p:115-130.

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173. Measuring the liquidity impact on EMU government bond prices. (2006). Mosenbacher, H. ; Pichler, S. ; Jankowitsch, R..
     In: The European Journal of Finance.
     RePEc:taf:eurjfi:v:12:y:2006:i:2:p:153-169.

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174. The Derivatives Sourcebook. (2006). Scholes, Myron ; merton, robert ; Lo, Andrew ; Lim, Terence.
     In: Foundations and Trends(R) in Finance.
     RePEc:now:fntfin:0500000005.

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175. An Empirical Analysis of the Pricing of Collateralized Debt Obligations. (2006). Longstaff, Francis ; RAJAN, ARVIND.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:12210.

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176. Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models.. (2006). Panagiotidis, Theodore ; Milas, Costas ; Lekkos, Ilias .
     In: Discussion Paper Series.
     RePEc:lbo:lbowps:2006_6.

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177. Macroeconomic Conditions, Firm Characteristics, and Credit Spreads. (2006). yan, hong ; Tang, Dragon.
     In: Journal of Financial Services Research.
     RePEc:kap:jfsres:v:29:y:2006:i:3:p:177-210.

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178. A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager. (2006). Papaioannou, Michael.
     In: IMF Working Papers.
     RePEc:imf:imfwpa:2006/195.

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179. Hedging tranches index products : illustration of model dependency. (2006). Guegan, Dominique ; Houdain, Julien .
     In: Post-Print.
     RePEc:hal:journl:halshs-00179325.

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180. Uncertainty Determinants of Corporate Liquidity. (2006). Talavera, Oleksandr ; Stephan, Andreas ; Caglayan, Mustafa ; Baum, Christopher.
     In: Working Papers.
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181. Trading risk, market liquidity, and convergence trading in the interest rate swap spread. (2006). Kambhu, John .
     In: Economic Policy Review.
     RePEc:fip:fednep:y:2006:i:may:p:1-13:n:v.12no.1.

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182. Measuring provisions for collateralised retail lending. (2006). Lo, C. F. ; Wong, T. C. ; Man, P. K. ; Hui, C. H..
     In: Journal of Economics and Business.
     RePEc:eee:jebusi:v:58:y:2006:i:4:p:343-361.

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183. Are corporates target leverage ratios time-dependent?. (2006). Lo, C. F. ; Huang, M. X. ; Hui, C. H..
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:15:y:2006:i:3:p:220-236.

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184. Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach. (2005). Blaskowitz, Oliver ; de Cadenas Santiago, Gonzalo, ; Herwartz, Helmut.
     In: Economics Working Papers.
     RePEc:zbw:cauewp:2987.

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185. Modelling International Bond Markets with Affine Term Structure Models. (2005). Schneider, Paul ; Mosburger, Georg.
     In: Finance.
     RePEc:wpa:wuwpfi:0509003.

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186. CORPORATE CREDIT RISK MODELING: QUANTITATIVE RATING SYSTEM AND PROBABILITY OF DEFAULT ESTIMATION. (2005). Fernandes, Joo.
     In: Finance.
     RePEc:wpa:wuwpfi:0505013.

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187. What Determines U.S. Swap Spreads?. (2005). Kobor, Adam ; Shi, Lishan ; Zelenko, Ivan .
     In: World Bank Publications.
     RePEc:wbk:wbpubs:7272.

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188. A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions. (2005). Nikitopoulos-Sklibosios, Christina .
     In: PhD Thesis.
     RePEc:uts:finphd:6.

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189. A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions. (2005). Nikitopoulos-Sklibosios, Christina .
     In: PhD Thesis.
     RePEc:uts:finphd:1-2005.

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190. How to gauge the credit risk of guarantee issues in a Taiwanese bills finance company: an empirical investigation using a market-based approach. (2005). Kuo, Chau-Jung ; Lu, Su-Lien.
     In: Applied Financial Economics.
     RePEc:taf:apfiec:v:15:y:2005:i:16:p:1153-1164.

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191. A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models. (2005). Almeida, Caio ; Rodrigues, Caio Ibsen .
     In: Brazilian Review of Econometrics.
     RePEc:sbe:breart:v:25:y:2005:i:1:a:2673.

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192. Explaining Launch Spreads on Structured Bonds. (2005). Firla-Cuchra, Maciej .
     In: Economics Series Working Papers.
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193. Security Design in the Real World: Why are Securitization Issues Tranched?. (2005). Jenkinson, Tim ; Firla-Cuchra, Maciej .
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194. Nonlinearity in the Term Structure. (2005). Kim, Dong Heon.
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195. Nonlinearity in the Term Structure. (2005). Kim, D H.
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196. On the predictability of common risk factors in the US and UK interest rate swap markets: Evidence from non-linear and linear models.. (2005). Panagiotidis, Theodore ; Milas, Costas ; Lekkos, Ilias .
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197. Loan Portfolio Swaps and Optimal Lending. (2005). Yi, Min-Li ; Lin, Jyh-Horng.
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198. Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach. (2005). Blaskowitz, Oliver ; Gonzalo de Cadenas Santiago, ; Herwartz, Helmut.
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199. AN INVESTIGATION INTO THE LINKAGES BETWEEN EURO AND STERLING SWAP SPREADS. (2005). Chatterjee, Somnath.
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200. A no-arbitrage analysis of economic determinants of the credit spread term structure. (2005). Wu, Liuren ; Zhang, Frank Xiaoling.
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201. Pricing default swaps: Empirical evidence. (2005). Vorst, Ton ; Houweling, Patrick.
     In: Journal of International Money and Finance.
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202. The credit-spread puzzle. (2005). Tsuji, Chikashi.
     In: Journal of International Money and Finance.
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203. Risk management implications of time-inconsistency: Model updating and recalibration of no-arbitrage models. (2005). Corielli, Francesco ; Buraschi, Andrea.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:29:y:2005:i:11:p:2883-2907.

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204. Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?. (2005). Yu, Fan ; Duarte, Jefferson ; Longstaff, Francis A..
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205. THE IMPACT OF MONETARY UNION ON EU-15 SOVEREIGN DEBT YIELD SPREADS. (2005). Gómez-Puig, Marta ; Gomez-Puig, Marta.
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206. Variance Risk Premia. (2004). Wu, Liuren ; Carr, Peter.
     In: Finance.
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207. Modeling the conditional covariance between stock and bond returns : A multivariate GARCH approach. (2004). de Goeij, P. C. ; Marquering, W..
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208. The Present, Future and Imperfect of Financial Risk Management. (2004). Alexandra, Carol.
     In: ICMA Centre Discussion Papers in Finance.
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209. Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach. (2004). Kristensen, Dennis ; Jeffrey, Andrew .
     In: Journal of Financial Econometrics.
     RePEc:oup:jfinec:v:2:y:2004:i:2:p:251-289.

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210. Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility. (2004). Jones, Christopher S. ; Goldstein, Robert S. ; Collin-Dufresne, Pierre.
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211. Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market. (2004). Longstaff, Francis ; Neis, Eric ; Mithal, Sanjay .
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212. Nonlinearity in the Term Structure. (2004). Kim, D H.
     In: The School of Economics Discussion Paper Series.
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213. Trading risk and volatility in interest rate swap spreads. (2004). Kambhu, John .
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214. Evaluating interest rate covariance models within a value-at-risk framework. (2004). Lopez, Jose ; Ferreira, Miguel.
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215. Regime shifts in a dynamic term structure model of U.S. Treasury bond yields. (2004). Singleton, Kenneth ; Yang, Wei ; Dai, Qiang.
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216. Exchange rates and interest rates: can term structure models explain currency movements?. (2004). Inci, Ahmet Can ; Lu, Biao.
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217. Estimation of Credit and Default Spreads: An Application to CDO Valuation. (2004). Noh, Jaesun .
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218. Risikoadjustierte Performance von Private Equity-Investitionen. (2004). Groh, Alexander.
     In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
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219. Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market, previously titled: The Credit-Default Swap Market: Is Credit Protection Priced Correctly?. (2004). Neis, Eric ; Mithal, Sanjay ; Longstaff, Francis A..
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220. Explaining the increased German credit spread: The role of supply factors. (2003). Brown, Alessio ; Arni, Iga .
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221. Credit Risk Factor Modeling and the Basel II IRB Approach. (2003). Liebig, Thilo ; Hamerle, Alfred ; Rosch, Daniel.
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222. UN CONTRASTE ALTERNATIVO DE LA HIPÓTESIS DE LAS EXPECTATIVAS EN SWAPS DE TIPOS DE INTERÉS. (2003). Romero, Pilar Abad .
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223. On the Aggregation of Market and Credit Risks. (2003). Alexandra, Carol ; Pezier, Jacques .
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224. Term Structure Dynamics in Theory and Reality. (2003). Singleton, Kenneth ; Dai, Qiang.
     In: Review of Financial Studies.
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225. Getting the Most Out of a Mandatory Subordinated Debt Requirement. (2003). Thomson, James ; Haubrich, Joseph ; Fan, Rong ; Ritchken, Peter .
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     RePEc:kap:jfsres:v:24:y:2003:i:2:p:149-179.

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226. Evaluating an Alternative Risk Preference in Affine Term Structure Models. (2003). Duarte, Jefferson., .
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227. Rental Expectations and the Term Structure of Lease Rates. (2003). Clapham, Eric ; GUNNELIN, ke.
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228. Itô conditional moment generator and the estimation of short rate processes. (2003). Zhou, Hao.
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229. What did the credit market expect of Argentina default? Evidence from default swap data. (2003). Zhang, Frank X..
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230. Counterparty credit risk in interest rate swaps during times of market stress. (2003). Bomfim, Antulio N..
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231. Pricing default swaps: empirical evidence. (2003). Vorst, Ton ; Houweling, Patrick ; Vorst, A. C. F., .
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232. An empirical analysis of the Australian dollar swap spreads. (2003). Muljono, Ronny ; Fang, Victor.
     In: Pacific-Basin Finance Journal.
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233. Fixed-income pricing. (2003). Singleton, Kenneth J. ; Dai, Qiang.
     In: Handbook of the Economics of Finance.
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234. Intertemporal asset pricing theory. (2003). Duffie, Darrell.
     In: Handbook of the Economics of Finance.
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235. Modeling volatility and changes in the swap spread. (2003). In, Francis ; Fang, Victor ; Brown, Rob .
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236. An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices. (2003). Jagannathan, Ravi ; Kaplin, Andrew ; Sun, Steve.
     In: Journal of Econometrics.
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237. A framework for collateral risk control determination. (2003). Backe, Peter ; Huang, Zhijiang ; Gonzalez, Fernando ; Cossin, Didier .
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238. Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data. (2003). Schwartz, Eduardo S. ; Naranjo, Lorezo ; Cortazar, Gonzalo.
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239. Default-risky Sovereign Debt. (2002). Wiggers, Andreas.
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240. An Analytic Solution for Interest Rate Swap Spreads. (2002). Grinblatt, Mark.
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241. Asset Pricing with Observable Stochastic Discount Factors.. (2002). Wickens, Michael ; Smith, Peter.
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242. Design and Estimation of Quadratic Term Structure Models. (2002). Wu, Liuren ; Leippold, Markus.
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243. Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives. (2002). Wu, Liuren ; Heidari, Massoud .
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244. What Drives Swap Spreads, Credit or Liquidity?. (2002). Jersey, Ira ; Huang, Ying ; Neftci, Salih .
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245. Equity Volatility and Corporate Bond Yields. (2002). Campbell, John ; Taksler, Glen B..
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246. Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans. (2002). Sorensen, Carsten ; Richter, Martin .
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247. Getting the most out of a mandatory subordinated debt requirement. (2002). Thomson, James ; Haubrich, Joseph ; Ritchken, Peter ; Fan, Rong.
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248. Dynamic Allocation of Treasury and Corporate Bond Portfolios. (2002). WALDER, Roger.
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249. A Framework for Collateral Risk Control Determination. (2002). Aunon-Nerin, Daniel ; Huang, Zhijiang ; Gonzalez, Fernando ; Cossin, Didier .
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250. Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures. (2002). WALDER, Roger.
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251. Term Structure of Interest Rates with Regime Shifts. (2002). Bansal, Ravi.
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252. Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility. (2002). Collin-Dufresne, Pierre.
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253. Empirical Analysis of the Yield Curve: The Information in the Data Viewed through the Window of Cox, Ingersoll, and Ross. (2002). Lamoureux, Christopher G..
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     RePEc:bla:jfinan:v:57:y:2002:i:3:p:1479-1520.

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254. Credit Derivatives in Managing Off Balance Sheet Risks by Banks. (2001). Cakir, Murat.
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255. An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices. (2001). Jagannathan, Ravi ; Kaplin, Andrew ; Sun, Steve Guoqiang.
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256. An Econometric Model of the Yield Curve with Macroeconomic Jump Effects. (2001). Piazzesi, Monika.
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257. Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure. (2001). Singleton, Kenneth ; Dai, Qiang.
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258. Pricing Claims Under GARCH-Level Dependent Interest Rate Processes. (2001). Ritchken, P. ; Cvsa, V..
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259. MCMC Based Estimation of Term Structure Models.. (2001). Mikkelsen, Peter.
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260. Understanding the role of recovery in default risk models: empirical comparisons and implied recovery rates. (2001). Madan, Dilip ; Bakshi, Gurdip ; Zhang, Frank.
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261. Jump-diffusion term structure and Ito conditional moment generator. (2001). Zhou, Hao.
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262. Investigating the sources of default risk: lessons from empirically evaluating credit risk models. (2001). Madan, Dilip ; Bakshi, Gurdip ; Zhang, Frank.
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263. Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market. (2001). Santa-Clara, Pedro ; Longstaff, Francis ; Longstaff Francis A., ; Schwartz Eduardo S., ; Pedro, Santa-Clara.
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264. Predictable changes in yields and forward rates. (2001). Wu, Liuren ; Backus, David ; Silverio, Foresi ; Abon, Mozumdar.
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     RePEc:eee:jfinec:v:59:y:2001:i:3:p:281-311.

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265. The analytic pricing of asymmetric defaultable swaps. (2001). Hübner, Georges ; Hubner, Georges .
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266. Mortality derivatives and the option to annuitise. (2001). Promislow, David S. ; Milevsky, Moshe A..
     In: Insurance: Mathematics and Economics.
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267. Estimation of affine asset pricing models using the empirical characteristic function. (2001). Singleton, Kenneth.
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268. Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach. (2001). Phillips, Peter ; LINTON, OLIVER ; Jeffrey, Andrew ; Nguyen, Thong.
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269. Can liquidity risk be subsumed in credit risk? A case study from Brady bond prices. (2001). Pagès, Henri.
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270. Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps. (2000). Uno, Jun ; Young Ho Eom, ; Subrahmanyam, Marti G..
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271. A study of the finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model. (2000). Zhou, Hao.
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272. A synthetic factor approach to the estimation of value-at-risk of a portfolio of interest rate swaps. (2000). Niffikeer, Cindy I. ; Hewins, Robin D. ; Flavell, Richard B..
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273. The intersection of market and credit risk. (2000). Jarrow, Robert ; Turnbull, Stuart M..
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274. A comparative study of structural models of corporate bond yields: An exploratory investigation. (2000). Anderson, Ronald ; Sundaresan, Suresh.
     In: Journal of Banking & Finance.
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275. On the term structure of default premia in the Swap and Libor markets. (2000). Solnik, Bruno ; Collin-Dufresne, Pierre.
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276. The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence. (2000). Santa-Clara, Pedro ; Schwartz, Eduardo S ; Longstaff, Francis A.
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277. Continuous-Time Methods in Finance: A Review and an Assessment. (2000). Sundaresan, Suresh M..
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278. The term structure of announcement effects. (1999). Remolona, Eli ; Fleming, Michael.
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279. Financial markets assessments of EMU. (1999). Bates, David S..
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280. The term structure of announcement effects. (1999). Remolona, Eli ; Fleming, Michael.
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281. Inflation Expectations and Risks in a Two-Country Affine-Yield Model. (1999). Ben Siu Cheong Fung, ; Mitnick, Scott ; Remolona, Eli M.
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282. Modelling the French Swap Spread.. (1999). Jondeau, Eric ; Avouyi-Dovi, Sanvi.
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283. Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets. (1999). Remolona, Eli ; Fung, Ben.
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284. Discrete-Time Models of Bond Pricing. (1998). Telmer, Chris ; Backus, David ; Foresi, Silverio .
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285. Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults. (1998). Geske, Robert ; Delianedis, Gordon .
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