Open AccessWhat Drives the Cross-Section of Credit Spreads?: A Variance Decomposition Approach
Author(s) -
Yoshio Nozawa
Publication year - 2014
Publication title -
finance and economics discussion series
Language(s) - English
Resource type - Journals
eISSN - 2767-3898
pISSN - 1936-2854
DOI - 10.17016/feds.2014.62
Subject(s) - variance decomposition of forecast errors , econometrics , variance (accounting) , economics , investment (military) , credit spread (options) , vector autoregression , excess return , credit risk , bond market , monetary economics , financial economics , actuarial science , paleontology , context (archaeology) , accounting , politics , political science , law , biology
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