Dynamic linkages in credit risk : modeling the time-varying correlation between the money and derivatives markets over the crisis period
Year of publication: |
2013
|
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Authors: | Wu, Weiou ; McMillan, David G. |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 16.2013, 2, p. 51-59
|
Subject: | Kreditrisiko | Credit risk | Geldmarkt | Money market | Terminmarkt | Derivatives market | Kreditderivat | Credit derivative | ARCH-Modell | ARCH model | 2004-2009 |
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