Showing 1 - 10 of 21,073
Persistent link: https://www.econbiz.de/10011301973
Persistent link: https://www.econbiz.de/10001738866
We develop a novel high-dimensional non-Gaussian modeling framework to infer measures of conditional and joint default risk for many financial sector firms. The model is based on a dynamic Generalized Hyperbolic Skewed-t block-equicorrelation copula with time-varying volatility and dependence...
Persistent link: https://www.econbiz.de/10011332950
Persistent link: https://www.econbiz.de/10011349820
Persistent link: https://www.econbiz.de/10010426636
Persistent link: https://www.econbiz.de/10001533877
Persistent link: https://www.econbiz.de/10011688510
Persistent link: https://www.econbiz.de/10012205624
Persistent link: https://www.econbiz.de/10011794959
Persistent link: https://www.econbiz.de/10013432817