Nonlinear modeling of financial stability using default probabilities from the capital market
Lucian Liviu Albu, Radu Lupu, Adrian Cantemir Călin, Iulia Lupu
| Year of publication: |
2019
|
|---|---|
| Authors: | Albu, Lucian-Liviu ; Lupu, Radu ; Călin, Adrian Cantemir ; Lupu, Iulia |
| Subject: | probabilities of default | fear | loss aversion | asymmetric volatility | day-of-the-week-effect | MiDaS regressions | Volatilität | Volatility | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Finanzmarkt | Financial market | Kreditrisiko | Credit risk | Regressionsanalyse | Regression analysis | Risikoaversion | Risk aversion |
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