Nigel Morkel-Kingsbury

RMIT University

124 La Trobe Street

Melbourne, 3000

Australia

Federation University Australia

University Dr.

Mt Helen, Victoria 3350

Australia

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

A Hidden Markov Chain Model for the Term Structure of Bond Credit Risk Spreads

Number of pages: 36 Posted: 10 Aug 1998
Lyn C. Thomas, David E. Allen and Nigel Morkel-Kingsbury
University of Southampton - School of Management, School of Mathematics and Statistics, The University of Sydney and RMIT University
Downloads 1,143 (17,899)
Citation 3

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A Hidden Markov Chain Model for the Term Structure of Bond Credit Risk Spreads

International Review of Financial Analysis
Posted: 20 Aug 2001
Lyn C. Thomas, David E. Allen and Nigel Morkel-Kingsbury
University of Southampton - School of Management, School of Mathematics and Statistics, The University of Sydney and RMIT University

Abstract:

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Bond pricing, credit ratings, credit spread, linear programming, Markov Chain, risk premium

2.

A Comment on 'the Information Content of Earnings and Prices: A Simultaneous Equations Approach' by W.H. Beaver, M.L. Mcanally, and C.H. Stinson (1997)

Number of pages: 27 Posted: 17 May 1999
David E. Allen, Stuart N. Cruickshank and Nigel Morkel-Kingsbury
School of Mathematics and Statistics, The University of Sydney, School of Finance and Business Economics and RMIT University
Downloads 606 (44,475)
Citation 2

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3.

Backward to the Futures: A Test of Three Futures Markets

Number of pages: 26 Posted: 17 Nov 1999
David E. Allen, Stuart N. Cruickshank, Nigel Morkel-Kingsbury and Noel Souness
School of Mathematics and Statistics, The University of Sydney, School of Finance and Business Economics, RMIT University and Government of Western Australia - Treasury
Downloads 557 (49,599)
Citation 1

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