Reduced-form models with regime switching: An empirical analysis for corporate bonds

DOI10.1007/S10690-007-9061-XzbMath1136.91493OpenAlexW3122646252MaRDI QIDQ928173

Tsz Lim Wong, Hoi Ying Wong

Publication date: 11 June 2008

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-007-9061-x

zbMATH Keywords

regime switchingcredit riskefficient method of moments

Mathematics Subject Classification ID

Special types of economic equilibria (91B52) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (1)

Expectations hypothesis and term structure of interest rates: an evidence from emerging market

Cites Work

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• A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK
• Bond pricing in a hidden Markov model of the short rate

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