Estimating the term structures of corporate debt

DOI10.1007/BF01531335zbMATH Open1274.91471MaRDI QIDQ375368FDOQ375368

Authors: Tal Schwartz 

Publication date: 30 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Recommendations

• Arbitrage bounds for the term structure of interest rates
• Term structure of interest rates and implied market frictions: the min-Max approach
• Estimating the term structure with a semiparametric Bayesian hierarchical model: an application to corporate bonds
• A REVIEW OF TECHNIQUES FOR THE ESTIMATION OF THE TERM STRUCTURE
• Risk factor analysis and portfolio immunization in the corporate bond market

zbMATH Keywords

credit ratingssticky ratingtreasury strips

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Asymptotic results for estimation and testing variances in regression models
• Testing hypotheses in nonlinear regressions

Cited In (5)

• A REVIEW OF TECHNIQUES FOR THE ESTIMATION OF THE TERM STRUCTURE
• Estimating the term structure with a semiparametric Bayesian hierarchical model: an application to corporate bonds
• A Bayesian approach to term structure modeling using heavy-tailed distributions
• Term structure of interest rates and implied market frictions: the min-Max approach
• Risk factor analysis and portfolio immunization in the corporate bond market

Uses Software

• IMSL Numerical Libraries

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