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publications

(16)   

• The dynamics of Australian dollar bonds with different credit qualities
  Jonathan Batten and Warren Hogan and Seppo Pynnönen International Review of Financial Analysis9(4):389--404002000.
  to Credit spreads by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• An empirical examination of the impact of market microstructure changes on the determinants of option bid-ask spreads
  Sean Pinder International Review of Financial Analysis12(5):563--577(2003)
  to spreads Bid-ask by smicha on Apr 29, 2008, 8:06 AM
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• Competition from the limit order book and NYSE spreads
  Lynn Phillips Kugele and Thomas H. McInish and Bonnie F. Van Ness and Robert A. Van Ness Journal of International Financial Markets, Institutions and Money10(1):31--42Jan2000.
  to Spreads by smicha on Apr 29, 2008, 8:06 AM
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• Market changes and spread components, implications for international markets
  Thomas H. McInish and Bonnie F. Van Ness and Robert A. Van Ness Journal of International Financial Markets, Institutions and Money11(1):65--73Mar2001.
  to Spreads by smicha on Apr 29, 2008, 8:06 AM
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• An empirical comparison of quoted and implied bid-ask spreads on futures contracts
  Owain ap Gwilym and Stephen Thomas Journal of International Financial Markets, Institutions and Money12(1):81--99Feb2002.
  to Bid-ask spreads by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• External shocks and the non-linear dynamics of Brady bond spreads in a regime-switching VAR
  Peter Tillmann Journal of International Financial Markets, Institutions and Money14(5):439--454Dec2004.
  to Spreads by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• Factors affecting the yields of emerging market issuers: Evidence from the Asia-Pacific region
  Jonathan A. Batten and Thomas A. Fetherston and Pongsak Hoontrakul Journal of International Financial Markets, Institutions and Money16(1):57--70Feb2006.
  to spreads Credit by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• Euler equations and money market interest rates: A challenge for monetary policy models
  Matthew B. Canzoneri and Robert E. Cumby and Behzad T. Diba Journal of Monetary Economics54(7):1863--1881Oct2007.
  to rate Interest spreads by smicha on Apr 23, 2008, 10:05 PM
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• Accounting transparency and the term structure of credit spreads
  Fan Yu Journal of Financial Economics75(1):53--84Jan2005.
  to of credit structure spreads Term by smicha on Apr 22, 2008, 3:17 PM
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• The seasonal behavior of the liquidity premium in asset pricing
  Venkat R. Eleswarapu and Marc R. Reinganum Journal of Financial Economics34(3):373--386Dec1993.
  to spreads Bid-ask by smicha on Apr 22, 2008, 3:17 PM
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• Credit-spread determinants and interlocking contracts: A study of the Ras Gas project
  Mansoor Dailami and Robert Hauswald Journal of Financial Economics86(1):248--278Oct2007.
  to spreads Credit by smicha on Apr 22, 2008, 3:17 PM
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• Bid-ask spreads in the interbank foreign exchange markets
  Hendrik Bessembinder Journal of Financial Economics35(3):317--348Jun1994.
  to spreads Bid-ask by smicha on Apr 22, 2008, 3:17 PM
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• The term structure of credit spreads with jump risk
  Chunsheng Zhou Journal of Banking \& Finance25(11):2015--2040Nov2001.
  to Credit spreads by smicha on Apr 22, 2008, 1:53 PM
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• The economic and statistical significance of spread forecasts: Evidence from the London Stock Exchange
  Nicholas Taylor Journal of Banking \& Finance26(4):795--818Apr2002.
  to spreads Bid-ask by smicha on Apr 22, 2008, 1:53 PM
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• On the consistency of ratings and bond market yields
  William Perraudin and Alex P. Taylor Journal of Banking \& Finance28(11):2769--2788Nov2004.
  to Credit spreads by smicha on Apr 22, 2008, 1:53 PM
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• Does judicial efficiency lower the cost of credit?
  Luc Laeven and Giovanni Majnoni Journal of Banking \& Finance29(7):1791--1812Jul2005.
  to rate Interest spreads by smicha on Apr 22, 2008, 1:53 PM
  URL | BibTeX