Realized jumps on financial markets and predicting credit spreads
Year of publication: |
2010
|
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Authors: | Tauchen, George Eugene ; Zhou, Hao |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 160.2011, 1, p. 102-118
|
Subject: | Finanzmarkt | Financial market | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Kreditrisiko | Credit risk | Prognoseverfahren | Forecasting model | Volatilität | Volatility |
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