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~isPartOf:"Computational economics"
~person:"Fabozzi, Frank J."
~person:"Koopman, Siem Jan"
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ARCH model
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Cox-Ingersoll-Ross model
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Credit default swap
1
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Fabozzi, Frank J.
Koopman, Siem Jan
Nadarajah, Saralees
3
Prigent, Jean-Luc
3
Afuecheta, Emmanuel
2
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Bekiros, Stelios
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Computational economics
Discussion paper / Tinbergen Institute
25
Tinbergen Institute Discussion Papers
15
Tinbergen Institute Discussion Paper
14
The Frank J. Fabozzi series
12
ECB Working Paper
9
The journal of portfolio management : JPM
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The handbook of fixed income securities
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Working paper series in economics
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International journal of theoretical and applied finance
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Journal of banking & finance
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Valuation, financial modeling, and quantitative tools
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Finance research letters
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Working paper series / European Central Bank
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European journal of operational research : EJOR
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Journal / The Capco Institute : journal of financial transformation
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KIT Working Paper Series in Economics
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The journal of asset management : a major new, international quarterly journal for the financial community
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Working Paper Series in Economics
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European financial management : the journal of the European Financial Management Association
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International Review of Financial Analysis
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International journal of forecasting
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International review of financial analysis
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Journal of applied econometrics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of international money and finance
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Review of quantitative finance and accounting
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The handbook of municipal bonds
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The journal of fixed income : JFI
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ECONIS (ZBW)
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The geometry of the world of currency volatilities
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
Computational economics
60
(
2022
)
1
,
pp. 125-145
Persistent link: https://www.econbiz.de/10013262502
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2
Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads
Bianchi, Michele Leonardo
;
Fabozzi, Frank J.
- In:
Computational economics
46
(
2015
)
2
,
pp. 243-273
Persistent link: https://www.econbiz.de/10011478467
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