A copula-based Markov reward approach to the credit spread in the European Union
Guglielmo D’Amico, Filippo Petroni, Philippe Regnault, Stefania Scocchera & Loriano Storchi
| Year of publication: |
2019
|
|---|---|
| Authors: | D'Amico, Guglielmo ; Petroni, Filippo ; Regnalt, Philippe ; Scocchera, Stefania ; Storchi, Loriano |
| Subject: | Sovereign credit rating | Markov process | Dynamic measure of inequality | Copula | Change-point | Markov-Kette | Markov chain | Multivariate Verteilung | Multivariate distribution | Kreditwürdigkeit | Credit rating | Kreditrisiko | Credit risk | EU-Staaten | EU countries | Länderrisiko | Country risk | Zinsstruktur | Yield curve | Theorie | Theory | Unternehmensanleihe | Corporate bond | Schätzung | Estimation | Einkommensverteilung | Income distribution |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2019.1702068 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012210396