Macroeconomic News Announcements and Corporate Bond Credit Spreads

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

Halbert White · Econometrica · 1980 · 26.1K citations

Social Sciences, Economics, Econometrics +11

Modeling Term Structures of Defaultable Bonds

Darrell Duffie, Kenneth J. Singleton · Review of Financial Studies · 1999 · 2.6K citations

Business, Economics, Finance +16

A Simple Approach to Valuing Risky Fixed and Floating Rate Debt

Francis A. Longstaff, Eduardo S. Schwartz · The Journal of Finance · 1995 · 2.2K citations

Business, Economics, Finance +17

The Determinants of Credit Spread Changes

Pierre Collin-Dufresn, Robert S. Goldstein, J. Spencer Martin · The Journal of Finance · 2001 · 2.2K citations · Full text

Business, Economics, Finance +16

A Markov Model for the Term Structure of Credit Risk Spreads

Robert A. Jarrow, David Lando, Stuart M. Turnbull · Review of Financial Studies · 1997 · 1.5K citations

Business, Economics, Finance +14