Moment estimators for autocorrelated time series and their application to default correlations
Christoph Frei and Marcus Wunsch
| Year of publication: |
March 2018
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|---|---|
| Authors: | Frei, Christoph ; Wunsch, Marcus |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 14.2018, 1, p. 1-29
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| Subject: | autocorrelation | credit risk | latent asset return correlation | method of moments (MoM) | bias correction | Schätztheorie | Estimation theory | Kreditrisiko | Credit risk | Korrelation | Correlation | Autokorrelation | Autocorrelation | Momentenmethode | Method of moments | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCR.2017.231 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011885453