A simple econometric approach for modeling stress event intensities
Rainer Jobst, Daniel Rösch, Harald Scheule and Martin Schmelzle
| Year of publication: |
2015
|
|---|---|
| Authors: | Jobst, Rainer ; Rösch, Daniel ; Scheule, Harald ; Schmelzle, Martin |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 35.2015, 4, p. 300-320
|
| Subject: | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Nichtparametrische Schätzung | Nonparametric estimation | VAR-Modell | VAR model | Handelsvolumen der Börse | Trading volume | Stresstest | Stress test |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011348422