Using event-study techniques, we investigate the impact of Brexit-related events on the
corporate bond yield spreads in the United Kingdom and Eurozone, respectively. We want to …

The purpose of this study is to develop a regime-switching extension of the dynamic Nelson-
Siegel term structure model and apply it to Japanese corporate bond spread data on an …

Understanding the behavior of corporate credit spread is of paramount importance to
understand and manage risk in fixed income securities. This study examines the …

This paper studies the behavior of corporate bond spreads during different market regimes
between 2004 and 2016. Applying a Markov-switching vector autoregressive (MS-VAR) …

The Journal of Fixed Income (JFI) provides sophisticated analytical research and case
studies on bond instruments of all types—investment grade, high-yield, municipals, ABS and …

HONG KONG INSTITUTE FOR MONETARY AND FINANCIAL RESEARCH Page 1 HONG KONG
INSTITUTE FOR MONETARY AND FINANCIAL RESEARCH Eric Girardin, Sandrine Lunven and …

During the global financial crisis, stressed market conditions led to skyrocketing corporate
bond spreads that could not be explained by conventional modeling approaches. This paper …

We investigate the impact of credit spreads on the stochastic duration and convexity of
corporate bonds with respect to the very metrics for equivalent Treasury bonds. We show …

This article proposes an extended Diebold–Li dynamic Nelson–Siegel model with factors
following AR-GARCH processes to fit the term structure of CDS spreads. The proposed …

This study proposes an extended Diebold-Li dynamic Nelson-Siegel model with factors
following regime-switching AR-GARCH processes to fit the term structure of CDS spreads …