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The gentle proposal : a model of applied defoult probabilities and GARCH volatility
Corelli, Angelo - In: Journal of risk management in financial institutions 4 (2010/11) 1, pp. 46-56
Persistent link: https://www.econbiz.de/10009883682
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A Kalman-filtered model of credit spreads
Corelli, Angelo - In: Journal of risk management in financial institutions 4 (2010/11) 2, pp. 180-188
Persistent link: https://www.econbiz.de/10009883689
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Discrete volatility calibration for callable swaps : a model comparison
Corelli, Angelo - In: International journal of financial markets and derivatives 2 (2011) 4, pp. 258-264
Persistent link: https://www.econbiz.de/10010008737
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Estimation of a Cox process for credit spreads with semi-stochastic intensity
Corelli, Angelo - In: Journal of risk finance : the convergence of financial … 11 (2010) 5, pp. 515-520
Persistent link: https://www.econbiz.de/10008724011
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The tale of the tail: extreme-value patterns of financial returns
Corelli, Angelo - In: Journal of risk finance : the convergence of financial … 13 (2012) 5, pp. 507-517
Persistent link: https://www.econbiz.de/10010036824
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To be or not: feeding information in standard minority games
Corelli, Angelo - In: Journal of risk finance : the convergence of financial … 13 (2012) 2, pp. 171-179
Persistent link: https://www.econbiz.de/10009835852