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~isPartOf:"The journal of alternative investments"
~subject:"Credit risk"
~subject:"Forecasting model"
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Search: subject_exact:"Rangkorrelation"
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Aste, Tomaso
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Creamer Guillén, Germán
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Glasserman, Paul
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Islam, Saiyid
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Quantitative finance
The journal of alternative investments
International journal of forecasting
19
Journal of forecasting
14
Journal of banking & finance
13
Journal of empirical finance
12
The journal of credit risk : published quarterly by Incisive Media
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Finance research letters
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1
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.
;
Squartini, T.
;
Kandhai, D.
;
Garlaschelli, D.
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
Saved in:
2
From equity to default correlation with taxes
Liu, Sheen
;
Qi, Howard
;
Xie, Yan Alice
- In:
Quantitative finance
20
(
2020
)
8
,
pp. 1373-1388
Persistent link: https://www.econbiz.de/10012262668
Saved in:
3
Forecasting high-dimensional realized volatility matrices using a factor model
Shen, Keren
;
Yao, Jianfeng
;
Li, Wai Keung
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1879-1887
Persistent link: https://www.econbiz.de/10012295649
Saved in:
4
Estimating a covariance matrix for market risk management and the case of credit default swaps
Neuberg, Richard
;
Glasserman, Paul
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 77-92
Persistent link: https://www.econbiz.de/10012194621
Saved in:
5
Improving forecasting performance of realized covariance with extensions of HAR-RCOV model : statistical significance and economic value
Zhang, Yaojie
;
Wei, Yu
;
Liu, Li
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1425-1438
Persistent link: https://www.econbiz.de/10012194796
Saved in:
6
Forecasting market states
Procacci, Pier Francesco
;
Aste, Tomaso
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1491-1498
Persistent link: https://www.econbiz.de/10012194800
Saved in:
7
A multivariate distance nonlinear causality test based on partial distance correlation : a machine learning application to energy futures
Creamer Guillén, Germán
;
Lee, Chihoon
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1531-1542
Persistent link: https://www.econbiz.de/10012194804
Saved in:
8
Hedging and constructing portfolios of active strategies : strategy time horizon and estimation errors
Rudin, Alexander
;
Marr, William M.
- In:
The journal of alternative investments
21
(
2018
)
1
,
pp. 39-47
Persistent link: https://www.econbiz.de/10011912938
Saved in:
9
Can CDO equity be short on correlation?
Aǧca, Şenay
;
Islam, Saiyid
- In:
The journal of alternative investments
12
(
2009/10
)
4
,
pp. 85-96
Persistent link: https://www.econbiz.de/10003974201
Saved in:
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