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~person:"Jarrow, Robert A."
~person:"Lucas, André"
~person:"Stokes, Jeffrey R."
~subject:"United States"
~type_genre:"Aufsatz in Zeitschrift"
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Aufsatz in Zeitschrift
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Jarrow, Robert A.
Lucas, André
Stokes, Jeffrey R.
Goodman, Laurie Sharon
7
Longstaff, Francis A.
7
Berger, Allen N.
6
Hammoudeh, Shawkat
6
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Patel, Pankaj
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Agricultural finance review
3
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2
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1
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1
Journal of risk management in financial institutions
1
Review of derivatives research
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ECONIS (ZBW)
11
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1
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10
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11
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1
Valuing default swaps under market and credit risk correlation
Jarrow, Robert A.
;
Yildirim, Yildiray
- In:
The journal of fixed income
11
(
2001
)
4
,
pp. 7-19
Persistent link: https://www.econbiz.de/10001701698
Saved in:
2
A non-Gaussian panel time series model for estimating and decomposing default risk
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of business & economic statistics : JBES ; a …
26
(
2008
)
4
,
pp. 510-525
Persistent link: https://www.econbiz.de/10003772293
Saved in:
3
Distressed debt prices and recovery rate estimation
Guo, Xin
;
Jarrow, Robert A.
;
Lin, Haizhi
- In:
Review of derivatives research
11
(
2008
)
3
,
pp. 171-204
Persistent link: https://www.econbiz.de/10003835030
Saved in:
4
Information theoretic generator estimation with an application to ratings process migration
Stokes, Jeffrey R.
- In:
Journal of risk management in financial institutions
4
(
2010/11
)
1
,
pp. 29-45
Persistent link: https://www.econbiz.de/10008905800
Saved in:
5
Estimating deliquency migration and the probability of default from aggregate data
Stokes, Jeffrey R.
;
Gloy, Brent A.
- In:
Agricultural finance review
67
(
2007
)
1
,
pp. 75-85
Persistent link: https://www.econbiz.de/10003495735
Saved in:
6
Survival analysis and mortgage termination at AgChoice ACA
Dressler, Jonathan B.
;
Stokes, Jeffrey R.
- In:
Agricultural finance review
70
(
2010
)
1
,
pp. 21-36
Persistent link: https://www.econbiz.de/10003983630
Saved in:
7
Dynamic factor models with macro, frailty, and industry effects for US default counts : the credit crisis of 2008
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
4
,
pp. 521-532
Persistent link: https://www.econbiz.de/10009667047
Saved in:
8
Observation-driven mixed-measurement dynamic factor models with an application to credit risk
Creal, Drew
;
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, …
- In:
The review of economics and statistics
96
(
2014
)
5
,
pp. 898-915
Persistent link: https://www.econbiz.de/10010470540
Saved in:
9
Credit cycles and macro fundamentals
Koopman, Siem Jan
;
Kräussl, Roman
;
Lucas, André
; …
- In:
Journal of empirical finance
16
(
2009
)
1
,
pp. 42-54
Persistent link: https://www.econbiz.de/10003800184
Saved in:
10
Empirical credit cycles and capital buffer formation
Koopman, Siem Jan
;
Lucas, André
;
Klaassen, Pieter
- In:
Journal of banking & finance
29
(
2005
)
12
,
pp. 3159-3179
Persistent link: https://www.econbiz.de/10003203860
Saved in:
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