Correlated risks vs contagion in stochastic transition models
Patrick Gagliardini; Christian Gouriéroux
| Year of publication: |
2013
|
|---|---|
| Authors: | Gagliardini, Patrick ; Gouriéroux, Christian |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 37.2013, 11, p. 2241-2269
|
| Subject: | Frailty | Systematic risk | Contagion | INAR model | Granularity adjustment | Risiko | Risk | Kreditrisiko | Credit risk | Markov-Kette | Markov chain | Finanzkrise | Financial crisis | Korrelation | Correlation | Ansteckungseffekt | Contagion effect | Theorie | Theory | Schätzung | Estimation |
| 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/10010196887