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Conference papers

Empirical analysis of term structures of credit spreads indices : a Kalman filtering approach

Franck Moraux 1
1 CREM - Centre de recherche en économie et management
Keywords : reduced form approach Kalman filter credit spreads term structures
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Conference papers
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https://halshs.archives-ouvertes.fr/halshs-00093024
Contributor : Dominique Maraine-Scipanov Connect in order to contact the contributor
Submitted on : Tuesday, September 12, 2006 - 3:44:03 PM
Last modification on : Tuesday, October 19, 2021 - 11:34:04 PM

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  • HAL Id : halshs-00093024, version 1

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CREM | CNRS | UNIV-RENNES1 | CREM-RRC | COMUE-NORMANDIE | UNIV-RENNES | UNICAEN | UR1-DEGSP

Citation

Franck Moraux. Empirical analysis of term structures of credit spreads indices : a Kalman filtering approach. 10e Rencontres Internationales de l'ACSEG, Nantes, Nov 2003, Nantes, France. ⟨halshs-00093024⟩

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