* Duffie and Singleton are at the Graduate School of Business, Stanford University, and Pedersen is at the Stern School of Business, New York University. We thank Martin Jacobsen, Andrei Khinchuk, David Lando, Vladimir Semyonov, and Len Umantsev for discussions, as well as seminar participants at the Anderson School at UCLA, National Bureau of Economic Research, Princeton University, Stanford University, and Yale University. Pedersen gratefully acknowledges financial support from the Danish Research Academy and from Stanford University. All errors are our own.
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
Version of Record online: 12 FEB 2003
© 2003 the American Finance Association
The Journal of Finance
Volume 58, Issue 1, pages 119–159, February 2003
How to Cite
Duffie, D., Pedersen, L. H. and Singleton, K. J. (2003), Modeling Sovereign Yield Spreads: A Case Study of Russian Debt. The Journal of Finance, 58: 119–159. doi: 10.1111/1540-6261.00520
- Issue online: 12 FEB 2003
- Version of Record online: 12 FEB 2003
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