Intersectoral default contagion : a multivariate Poisson autoregression analysis
Ana Escribano, Mario Maggi
| Year of publication: |
2019
|
|---|---|
| Authors: | Escribano, Ana ; Maggi, Mario Alessandro |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 82.2019, p. 376-400
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| Subject: | Financial crises | Default contagion | Intensity estimation | Poisson autoregressive process | Ansteckungseffekt | Contagion effect | Theorie | Theory | Stochastischer Prozess | Stochastic process | Finanzkrise | Financial crisis | Autokorrelation | Autocorrelation | Kreditrisiko | Credit risk | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2019.01.020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012203181