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#1
07-21-2010, 05:33 AM
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Credit Spread Correlation Question
Hi guys,
I am new here and it's nice to meet you all. I would like to ask the members, what it means to model the correlation between credit spreads with different ratings, using econometric techniques like DCC-GARCH? and whether there are any related papers. Thanks all! 
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#2
07-21-2010, 05:00 PM
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You can a ton of papers on the topic in our PDF library at Forum | Quant Network - Download Research Papers
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