Forecasting credit spread volatility: evidence from the Japanese Eurobond market

DOI10.1007/S10690-005-4242-YzbMATH Open1075.91548OpenAlexW2089792032MaRDI QIDQ2575430FDOQ2575430

Jonathan Batten, Brock N. Johnson

Publication date: 9 December 2005

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

Full work available at URL: https://doi.org/10.1007/s10690-005-4242-y

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zbMATH Keywords

credit spreadsforecasting volatilityYen Eurobonds

Mathematics Subject Classification ID

Cites Work

• The pricing of options and corporate liabilities
• Generalized autoregressive conditional heteroscedasticity
• A theory of the term structure of interest rates
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ARCH modeling in finance. A review of the theory and empirical evidence
• An equilibrium characterization of the term structure
• Temporal Aggregation of Garch Processes
• An analysis of variance test for normality (complete samples)

Cited In (5)

• Title not available (Why is that?)
• The matching of lead underwriters and issuing firms in the Japanese corporate bond market
• The impact of stock market volatility on corporate bond credit spreads.
• Credit rating matters in contrarian return -- evidence from the Japanese equity market
• Quality options and hedging in Japanese government bond futures markets

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