Wilhelm-Epstein-Strasse 14
60431 Frankfurt am Main
Germany
Deutsche Bundesbank - Economics Department
sovereign bond spread, GARCH-in-mean, default probability
structural models, credit spreads, risk premiums
Corporate bond funds, Ownership, Portfolio liquidity, Strategic complementarities
price discovery, credit risk, corporate bonds, credit derivatives, Kalman filter
cash holdings, equity funds, ownership, strategic complementarities, financial crisis
Sovereign bond spread, GARCH-in-mean, default probability