RT Journal Article SR Electronic T1 DTSSM (Duration Times Spread) for CDS JF The Journal of Fixed Income FD Institutional Investor Journals SP 32 OP 44 DO 10.3905/jfi.2007.683316 VO 16 IS 4 A1 Arik Ben Dor A1 Simon Polbennikov A1 Jeremy Rosten YR 2007 UL https://pm-research.com/content/16/4/32.abstract AB We extend the study of Ben Dor, Dynkin, Hyman, Houweling, Leeuwen and Penninga [2007] on the behaviour of corporate bond spreads to the realm of credit default swaps using a new estimation technique. The quasi-maximum likelihood approach we employ can accommodate the stochastic nature of the relation between spread volatility and spread level. Consistent with the results for corporate bonds, we find support for a linear relationship between spread volatility and spread level with some evidence of non-linear effects.TOPICS: Fixed income and structured finance, statistical methods, credit default swaps