Geostatistical modeling of dependent credit spreads : estimation of large covariance matrices and imputation of missing data
Amelie Hüttner, Matthias Scherer, Benedikt Gräler
| Year of publication: |
2020
|
|---|---|
| Authors: | Hüttner, Amelie ; Scherer, Matthias ; Gräler, Benedikt |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 118.2020, p. 1-13
|
| Subject: | CDS spread | Covariance matrix estimation | Gaussian random field | Geostatistics | Missing data imputation | Korrelation | Correlation | Kreditderivat | Credit derivative | Zinsstruktur | Yield curve | Kreditrisiko | Credit risk | Fehlende Daten | Missing data | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2020.105897 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012521061