| Reference: | Bierens, Herman, Huang, Jing-zhi and Kong, Weipgen, 2003, An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects, Working Paper Series
Franklin, Allen and Gale, Douglas, 2000, Financial Contagion, Journal of Political Economy, Vol 108, 1-33
Hamilton JD, and Susmel, Raul 1994, Autoregressive Conditional Heteroskedasticity and Changes in Regime, Journal of Econometrics, 64, 307-333
Hansen, B. E., 1992, The Likelihood Ratio Test Under Nonstandard Conditions-Testing the Markov Switching Model of GNP, Journal of Applied Econometrics, Vol. 7, S61-S82
Garcia, Rene, 1998, Asymptotic Null Distribution of The Likelihood Ratio Test In Markov Switching Model, International Economic Review, Vol. 39, No. 3, 763-788
Kiyotaki, Nobuhiro and John Moore, 1997, Credit Chains, Working Paper Series
Redrosa, Monica and Roll, Richard 1998, Systematic Risk in Corporate Bond Credit Spreads, Journal of Fixed Income, December, 7-26
Van Horne, James C., 1997, Financial Marketing Rates and Flows, Prentice Hall, Fifth Edition |
