CDO Surfaces Dynamics
Year of publication: |
2013-07
|
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Authors: | Choroś-Tomczyk, Barbara ; Härdle, Wolfgang Karl ; Okhrin, Ostap |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | base correlation | collateralized debt obligation | curve trade | dynamic factor model | semiparametric model |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number SFB649DP2013-032 33 pages |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C51 - Model Construction and Estimation ; G11 - Portfolio Choice ; G17 - Financial Forecasting |
Source: |
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Choros-Tomczyk, Barbara, (2013)
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Choros-Tomczyk, Barbara, (2013)
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Predicting the global minimum variance portfolio
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Härdle, Wolfgang Karl, (2012)
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Time varying Hierarchical Archimedean Copulae
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Härdle, Wolfgang Karl, (2011)
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