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  • Search: subject:"Autoregressive Gamma"
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Year of publication
Subject
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Autocorrelation 1 Autokorrelation 1 Autoregressive Gamma 1 Autoregressive Gamma Process 1 Common Factor 1 Compound Autoregressive Process 1 Contagion 1 Dynamic Count Model 1 Frailty 1 Funding Liquidity 1 Health Insurance 1 Hedge Fund 1 Intensity 1 Liquidation Correlation 1 Liquidation Swap 1 Market Liquidity 1 Negative Binomial Process 1 Pairwise Analysis 1 Poisson-Gamma Conjugacy 1 Statistical distribution 1 Statistische Verteilung 1 Stress-tests 1 Systemic Risk 1 Theorie 1 Theory 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1 Undetermined 1
Author
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Gouriéroux, Christian 2 Darolles, Serge 1 Gagliardini, Patrick 1 Lu, Yang 1
Institution
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Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1
Published in...
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Série des documents de travail 1 Working Papers / Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Negative binomial autoregressive process
Gouriéroux, Christian; Lu, Yang - 2018
Persistent link: https://www.econbiz.de/10012201119
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Survival of Hedge Funds : Frailty vs Contagion
Darolles, Serge; Gagliardini, Patrick; Gouriéroux, … - Centre de Recherche en Économie et Statistique … - 2012
In this paper we examine the dependence between the liquidation risks of individual hedge funds. This dependence can result either from common exogenous shocks (shared frailty), or from contagion phenomena, which occur when an endogenous behaviour of a fund manager impacts the Net Asset Values...
Persistent link: https://www.econbiz.de/10010660002
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