Search Results - subject:"Stochastic Intensity"

Creal, Drew - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 585-597

Persistent link: https://www.econbiz.de/10011893816

Dassios, Angelos; Zhao, Hongbiao - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10011686792

Dassios, Angelos; Zhao, Hongbiao - In: Operations research 65 (2017) 6, pp. 1494-1515

Persistent link: https://www.econbiz.de/10011777769

Gagliardini, Patrick; Gouriéroux, Christian - In: Annals of economics and statistics 123/124 (2016), pp. 175-223

Persistent link: https://www.econbiz.de/10011592744

Lee, Hyun Jung; Cha, Ji Hwan - In: European journal of operational research : EJOR 255 (2016) 1, pp. 80-90

Persistent link: https://www.econbiz.de/10011530834

Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: Credit and Capital Markets 47 (2014) 4, pp. 571-610

European investment-grade firms by using a stochastic intensity credit model. Our results show that, on average, investors …

Persistent link: https://www.econbiz.de/10011096054

Duan, Qihong; Wei, Ying; Chen, Zhiping - In: Economic Modelling 38 (2014) C, pp. 220-226

A Poisson process with stochastic intensity is utilized to model changes of a benchmark interest rate set by a Central …

Persistent link: https://www.econbiz.de/10010753336

Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 125-146

Persistent link: https://www.econbiz.de/10010256178

Duan, Qihong; Wei, Ying; Chen, Zhiping - In: Economic modelling 38 (2014), pp. 220-226

Persistent link: https://www.econbiz.de/10010419122

Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: Credit and capital markets : Kredit und Kapital 47 (2014) 4, pp. 571-610

Persistent link: https://www.econbiz.de/10010477424

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