Measuring Systematic Risk in EMU Government Yield Spreads * (Q4672032)
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scientific article; zbMATH DE number 2163202
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Measuring Systematic Risk in EMU Government Yield Spreads * |
scientific article; zbMATH DE number 2163202 |
Statements
Measuring Systematic Risk in EMU Government Yield Spreads * (English)
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29 April 2005
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affine term structure model
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credit spreads
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EMU
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intensity model
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Kalman filter
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multi-issuer model
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