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person:"Monfort, Alain"
~isPartOf:"Journal of econometrics"
~person:"Kim, Don H."
~person:"Niu, Linlin"
~subject:"Kreditrisiko"
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Search: subject_exact:"Zinsstrukturkurve"
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Kreditrisiko
Yield curve
6
Zinsstruktur
6
Credit risk
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Derivat
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Derivative
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Estimation
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Financial crisis
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Finanzkrise
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Affine process
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Debt crisis
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Default event
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EU countries
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Monfort, Alain
Kim, Don H.
Niu, Linlin
Gouriéroux, Christian
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Hong, Zhiwu
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Renne, Jean-Paul
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Journal of econometrics
Documents de travail / Banque de France
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Série des documents de travail / Centre de Recherche en Économie et Statistique
3
Banque de France Working Paper
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Developments in macro-finance Yield curve modelling
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Journal of banking & finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Review of finance : journal of the European Finance Association
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Affine arbitrage-free yield net models with application to the euro debt crisis
Hong, Zhiwu
;
Niu, Linlin
;
Zhang, Chen
- In:
Journal of econometrics
230
(
2022
)
1
,
pp. 201-220
Persistent link: https://www.econbiz.de/10013441937
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2
Pricing default events : surprise, exogeneity and contagion
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
Journal of econometrics
182
(
2014
)
2
,
pp. 397-411
Persistent link: https://www.econbiz.de/10010497742
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