Extreme Events and the Copula Pricing of Commercial Mortgage-Backed Securities
Year of publication: |
2009
|
---|---|
Authors: | Liu, Zhan ; Fan, Gang-Zhi ; Lim, Kian |
Published in: |
The Journal of Real Estate Finance and Economics. - Springer. - Vol. 38.2009, 3, p. 327-349
|
Publisher: |
Springer |
Subject: | CMBS | Copula model | Extreme events | Heavy tail | Tail dependence |
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