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Asset Pricing in Discrete Time...
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ECONIS (ZBW)
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1
Fast approximation of loan portfolio loss
Bai, Jenny
;
Seppälä, Heikki
;
Poon, Ser-Huang
- In:
Global credit review
4
(
2014
),
pp. 67-85
Persistent link: https://www.econbiz.de/10010422179
Saved in:
2
Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
Lee, Yong Woong
;
Poon, Ser-Huang
- In:
Journal of economic dynamics & control
41
(
2014
),
pp. 69-92
Persistent link: https://www.econbiz.de/10010425019
Saved in:
3
Estimating dynamic copula dependence using intraday data
Grossmass, Lidan
;
Poon, Ser-Huang
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
4
,
pp. 501-529
Persistent link: https://www.econbiz.de/10011339412
Saved in:
4
The robustness of estimatiors in structural credit loss distributions
Batiz-Zuk, Enrique
;
Christodoulakis, George A.
;
Poon, …
- In:
The journal of credit risk : published quarterly by …
11
(
2015
)
2
,
pp. 67-97
Persistent link: https://www.econbiz.de/10011298505
Saved in:
5
Markow Chain Monte Carlo with particle filtering
Lee, Yong Woong
;
Poon, Ser-Huang
- In:
Handbook of research methods and applications in …
,
(pp. 169-193)
.
2013
Persistent link: https://www.econbiz.de/10011897443
Saved in:
6
Credit contagion in the presence of non-normal shocks
Batiz-Zuk, Enrique
;
Christodoulakis, George A.
;
Poon, …
- In:
International review of financial analysis
37
(
2015
),
pp. 129-139
Persistent link: https://www.econbiz.de/10011317232
Saved in:
7
Loan portfolio loss models with more flexible asymmetry and tails for Korean banks and a comparison of their regional concentrations
Lee, Yong Woong
;
Poon, Ser-Huang
- In:
Emerging markets finance & trade : a journal of the …
51
(
2015
)
3
,
pp. 118-139
Persistent link: https://www.econbiz.de/10011404418
Saved in:
8
Asset pricing in discrete time : a complete markets approach
Poon, Ser-Huang
;
Stapleton, Richard C.
-
2005
-
1. publ.
Persistent link: https://www.econbiz.de/10002064666
Saved in:
9
Modelling S&P 100 volatility : the information content of stock returns
Blair, Bevan J.
;
Poon, Ser-Huang
;
Taylor, Stephen
- In:
Journal of banking & finance
25
(
2001
)
9
,
pp. 1665-1679
Persistent link: https://www.econbiz.de/10001603579
Saved in:
10
New extreme-value dependance measures and finance applications
Poon, Ser-Huang
;
Rockinger, Michael
;
Tawn, Jonathan
-
2001
Persistent link: https://www.econbiz.de/10001564644
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