A Hawkes model of the transmission of European sovereign default risk
Year of publication: |
2017
|
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Authors: | Dumitru, Ana-Maria ; Holden, Tom |
Publisher: |
Kiel, Hamburg : ZBW - Leibniz Information Centre for Economics |
Subject: | sovereign CDS spreads | credit risk | multivariate self-exciting point process | systemic risk |
Type of publication: | Book / Working Paper |
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Type of publication (narrower categories): | Conference Paper |
Language: | English |
Other identifiers: | 898801052 [GVK] hdl:10419/168431 [Handle] RePEc:zbw:esconf:168431 [RePEc] |
Classification: | c58 ; G12 - Asset Pricing |
Source: |
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