22)
Advances in econometrics
Econometrics and Risk Management
ISBN: 978-1-84855-196-1, eISBN: 978-1-84855-197-8
ISSN: 0731-9053
Publication date: 1 December 2008
Citation
(2008), "Advances in econometrics", Fouque, J.-P., Fomby, T.B. and Solna, K. (Ed.) Econometrics and Risk Management (Advances in Econometrics, Vol. 22), Emerald Group Publishing Limited, Leeds, p. ii. https://doi.org/10.1016/S0731-9053(08)22015-3
Publisher
:Emerald Group Publishing Limited
Copyright © 2008, Emerald Group Publishing Limited
- Advances in econometrics
- Econometrics and risk management
- Copyright page
- List of contributors
- Introduction
- Fast solution of the Gaussian copula model
- An empirical study of pricing and hedging collateralized debt obligation (CDO)
- The skewed t
- Credit risk dependence modeling with dynamic copula: An application to CDO tranches
- Perturbed Gaussian copula
- The determinants of default correlations
- Data mining procedures in generalized Cox regressions
- Jump diffusion in credit barrier modeling: a partial integro-differential equation approach
- Bond markets with stochastic volatility
- Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss
- Credit derivatives and risk aversion