Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2009
through the SFB 649 "Economic Risk".
http://sfb649.wiwi.hu-berlin.de
ISSN 1860-5664
SFB 649, Humboldt-Universität zu … random factor loadings to permit higher correlation in economic depressions.
2
The main disadvantage of Gaussian copula … explains the occurrence of jumps by
macro-economic factors. In this framework Duffie & Singleton (1999) propose a basic
affine …