Modeling the dynamics of credit spreads with stochastic volatility

K. Jacobs, X.F. Li

Research output: Contribution to journal › Article › Scientific › peer-review

Cite this

@article{703cadf9835c43069daff2f5898767f8,

title = "Modeling the dynamics of credit spreads with stochastic volatility",

author = "K. Jacobs and X.F. Li",

year = "2008",

language = "English",

volume = "54",

pages = "1176--1188",

journal = "Management Science",

issn = "0025-1909",

publisher = "INFORMS Inst.for Operations Res.and the Management Sciences",

number = "6",

}