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Factor high-frequency based volatility (HEAVY) models
Sheppard, Kevin; Xu, Wen - 2014
Persistent link: https://www.econbiz.de/10010365630
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The zero-inflated promotion cure rate model applied to financial data on time-to-default
Oliveira, Mauro Ribeiro de <Jr.>; Moreira, Fernando; … - In: Cogent economics & finance 5 (2017) 1, pp. 1-14
In this paper, we extend the promotion cure rate model studied in Yakovlev and Tsodikov (1996) and Chen et al. (1999) by incorporating an excess of zeros in the modeling. Despite relating covariates to the cure fraction, the current approach does not enable us to relate covariates to the...
Persistent link: https://www.econbiz.de/10011886977
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Applied quantitative finance
Härdle, Wolfgang (ed.); Hautsch, Nikolaus (ed.);  … - 2009 - 2. ed.
Persistent link: https://www.econbiz.de/10003719524
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Modelowanie preferencji a ryzyko : praca zbiorowa
Akademia Ekonomiczna Imienia Karola Adamieckiego w … - Katowice : Wydawn. Akad. Ekonomicznej Im. Karola … - 1998 -
Persistent link: https://www.econbiz.de/10003383942
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Does adding up of economic capital for market- and credit risk amount to conservative risk assessment?
Breuer, Thomas; Jandačka, Martin; Rheinberger, Klaus; … - In: Journal of banking & finance 34 (2010) 4, pp. 703-712
Persistent link: https://www.econbiz.de/10003966039
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Worst-Case Analysen des Ausfallrisikos eines Portfolios aus marktabhängigen Finanzderivaten
Barth, Jörn - In: Kreditrisikomanagement : Kernbereiche, Aufsicht und …, (pp. 115-156). 2002
Persistent link: https://www.econbiz.de/10001720335
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Worst-Case Analysen des Ausfallrisikos eines Portfolios aus marktabhängigen Finanzderivaten
Barth, Jörn - In: Kreditrisikomanagement : Portfoliomodelle und Derivate, (pp. 107-148). 2000
Persistent link: https://www.econbiz.de/10001491336
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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
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Credit Risk and Disaster Risk
Gourio, Francois - 2011
depression, this paper embeds a trade-off theory of capital structure into a real business cycle model with a small, time …
Persistent link: https://www.econbiz.de/10013125570
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Credit Risk and Disaster Risk
Gourio, Francois - 2012
recessions, is exposed to economic depressions, this paper embeds a trade-off theory of capital structure into a real business …
Persistent link: https://www.econbiz.de/10013097370