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1
Quality control for structural credit risk models
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
146
(
2008
)
2
,
pp. 364-375
Persistent link: https://www.econbiz.de/10003783002
Saved in:
2
Estimating the structural credit risk model when equity prices are contaminated by trading noises
Duan, Jin-Chuan
;
Fulop, Andras
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 288-296
Persistent link: https://www.econbiz.de/10003858905
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3
High dimensional dynamic stochastic copula models
Creal, Drew
;
Tsay, Ruey S.
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
Saved in:
4
On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.
;
Yılmaz, Kamil
- In:
Journal of econometrics
182
(
2014
)
1
,
pp. 119-134
Persistent link: https://www.econbiz.de/10010497110
Saved in:
5
Realized jumps on financial markets and predicting credit spreads
Tauchen, George Eugene
;
Zhou, Hao
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 102-118
Persistent link: https://www.econbiz.de/10009242533
Saved in:
6
Reinforced urn processes for credit risk models
Peluso, Stefano
;
Mira, Antonietta
;
Mulière, Pietro
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10011326824
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7
Pricing default events : surprise, exogeneity and contagion
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
Journal of econometrics
182
(
2014
)
2
,
pp. 397-411
Persistent link: https://www.econbiz.de/10010497742
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8
Multiperiod corporate default prediction : a forward intensity approach
Duan, Jin-Chuan
;
Sun, Jie
;
Wang, Tao
- In:
Journal of econometrics
170
(
2012
)
1
,
pp. 191-209
Persistent link: https://www.econbiz.de/10009673113
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9
Multivariate Jacobi process with application to smooth transitions
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 475-505
Persistent link: https://www.econbiz.de/10003298607
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10
Commercial and residential mortgage defaults : spatial dependence with frailty
Babii, Andrii
;
Chen, Xi
;
Ghysels, Eric
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 47-77
Persistent link: https://www.econbiz.de/10012303871
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