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Implied correlations : smiles...
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1
Pricing CDOs with a smile : the local
correlation
model
Turc, Julien
;
Very, Philippe
- In:
Frontiers in quantitative finance : volatility and …
,
(pp. 235-250)
.
2009
Persistent link: https://www.econbiz.de/10003787606
Saved in:
2
Copula dynamics in CDOs
Choros-Tomczyk, Barbara
;
Härdle, Wolfgang
;
Overbeck, Ludger
-
2012
conditions. Therefore, a
correlation
implied from tranches can be seen as a measure of the general health of the credit market …
Persistent link: https://www.econbiz.de/10009531437
Saved in:
3
Credit derivatives
Hull, John
;
White, Alan
-
2013
Persistent link: https://www.econbiz.de/10009696025
Saved in:
4
Time-varying
correlation
in housing prices
Zimmer, David M.
- In:
The journal of real estate finance and economics
51
(
2015
)
1
,
pp. 86-100
Persistent link: https://www.econbiz.de/10011474934
Saved in:
5
Can CDO equity be short on
correlation
?
Aǧca, Şenay
;
Islam, Saiyid
- In:
The journal of alternative investments
12
(
2009/10
)
4
,
pp. 85-96
Persistent link: https://www.econbiz.de/10003974201
Saved in:
6
Estimating default probabilities of CMBS loans with clustering and heavy censoring
Yildirim, Yildiray
- In:
The journal of real estate finance and economics
37
(
2008
)
2
,
pp. 93-111
Persistent link: https://www.econbiz.de/10003735919
Saved in:
7
Commodity spread option pricing and the economic fundamentals of crack spreads
Kolpakov, Ilya
-
2014
Persistent link: https://www.econbiz.de/10010516044
Saved in:
8
Copula methods for forecasting multivariate time series
Patton, Andrew J.
-
2013
Persistent link: https://www.econbiz.de/10011507033
Saved in:
9
Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation
Bräutigam, Marcel
-
2020
Persistent link: https://www.econbiz.de/10012488824
Saved in:
10
The causal effect of mortgage refinancing on interest rate
volatility
: empirical evidence and theoretical implications
Duarte, Jefferson
- In:
The review of financial studies
21
(
2008
)
4
,
pp. 1689-1731
Persistent link: https://www.econbiz.de/10003765319
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