The Relation Between Treasury Yields and Corporate Bond Yield Spreads

Author:

Duffee Gregory R.1

Affiliation:

1. Federal Reserve Board

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference7 articles.

1. Maximum likelihood estimation for a multifactor equilibrium model of the term structure of interest rates;Ren-raw;Journal of Fixed Income,1993

2. Iwanowski , Raymond Raxesh Chandra 1995 How do corporate spread curves move over time?, Working paper, Salomon Brothers

3. Common factors affecting bond returns;Litterman;Journal of Fixed Income,1991

4. A simple approach to valuing risky fixed and floating rate debt;Longstaff;Journal of Finance,1995

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