Dynamic implied correlation modeling and forecasting in structured finance
Sebastian Löhr; Olga Mursajew; Daniel Rösch; Harald Scheule
| Year of publication: |
2013
|
|---|---|
| Authors: | Löhr, Sebastian ; Mursajew, Olga ; Rösch, Daniel ; Scheule, Harald |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 33.2013, 11, p. 994-1023
|
| Subject: | Kreditderivat | Credit derivative | Portfolio-Management | Portfolio selection | Risiko | Risk | Prognoseverfahren | Forecasting model | Korrelation | Correlation | Panel | Panel study | Schätzung | Estimation | Europa | Europe | 2005-2008 |
| 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/10010255106