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The Spanish Review of Financial Economics Modeling credit spreads under multifactor stochastic volatility
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Modeling credit spreads under multifactor stochastic volatility
Jacinto Marabel Romoa,b
a BBVA, Vía de los Poblados s/n, 28033 Madrid, Spain
b Department of Management Sciences, University of Alcalá (UAH), Plaza de la Victoria 2, 28802 Alcalá de Henares, Madrid, Spain
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ISSN: 21731268
Original language: English
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