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All co-authors spreads market periods risk corporate bond determinants forecast credit interval schätzung estimation nonlinear dynamics
Composed bond spreads dynamics corporate corporate bond spreads regime regime dependent dependent effects effects determinants determinants nonlinear paper studies studies behavior behavior corporate spreads different different market market regimes regimes applying applying markov switching vector vector autoregressive autoregressive ms ms var model document document dynamic dynamic impact impact spread spread determinants determinants varies varies substantially substantially market market conditions conditions periods periods volatility volatility systematic systematic credit contributes driving driving spreads spreads while while market market wide wide liquidity liquidity risk risk priced priced volatility volatility low low crucial
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The information on the author is retrieved from: Entity Facts (by DNB = German National Library data service), DBPedia and Wikidata
Henning Fischer Dr. Biblio: Deutsche Bundesbank, Frankfurt am Main, Germany ; Dissertation im Fachgebiet Statistik und Ökonometrie an der Univ. Gießen, 2014
Profession Diplomkaufmann
Affiliations Justus-Liebig-Universität Gießen
Q130762070
Publishing years Series Discussion paper (1) Deutsche Bundesbank Discussion Paper (1) Joint discussion paper series in economics : publ. by the Universities of Aachen, Gießen, Göttingen, Kassel, Marburg, Siegen (1) 
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