An autoregressive conditional duration model of credit‐risk contagion
Year of publication: |
2005
|
---|---|
Authors: | Focardi, Sergio M. ; Fabozzi, Frank J. |
Published in: |
The Journal of Risk Finance. - Emerald Group Publishing Limited, ISSN 2331-2947, ZDB-ID 2048922-5. - Vol. 6.2005, 3, p. 208-225
|
Publisher: |
Emerald Group Publishing Limited |
Subject: | Credit | Financial risk |
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