Narrow search
Showing 1 - 10 of 1,715
Cover Image
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
Cover Image
Realized jumps on financial markets and predicting credit spreads
Tauchen, George Eugene; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 102-118
Persistent link: https://www.econbiz.de/10009242533
Cover Image
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
Cover Image
Multiperiod corporate default prediction : a forward intensity approach
Duan, Jin-Chuan; Sun, Jie; Wang, Tao - In: Journal of econometrics 170 (2012) 1, pp. 191-209
Persistent link: https://www.econbiz.de/10009673113
Cover Image
Reinforced urn processes for credit risk models
Peluso, Stefano; Mira, Antonietta; Mulière, Pietro - In: Journal of econometrics 184 (2015) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10011326824
Cover Image
Commercial and residential mortgage defaults : spatial dependence with frailty
Babii, Andrii; Chen, Xi; Ghysels, Eric - In: Journal of econometrics 212 (2019) 1, pp. 47-77
Persistent link: https://www.econbiz.de/10012303871
Cover Image
Modelling and forecasting government bond spreads in the euro area : a GVAR model
Favero, Carlo A. - In: Journal of econometrics 177 (2013) 2, pp. 343-356
Persistent link: https://www.econbiz.de/10010255139
Cover Image
On the power of tests for superexogeneity and structural invariance
Psaradakis, Zacharias G. - In: Journal of econometrics 72 (1996) 1, pp. 151-175
Persistent link: https://www.econbiz.de/10001198020
Cover Image
An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
Jagannathan, Ravi; Kaplin, Andrew; Sun, Steve - In: Journal of econometrics 116 (2003) 1/2, pp. 113-146
Persistent link: https://www.econbiz.de/10001772145
Cover Image
Nonlinear interest rate dynamics and implications for the term structure
Pfann, Gerard A.; Schotman, Peter C.; Tschernig, Rolf - In: Journal of econometrics 74 (1996) 1, pp. 149-176
Persistent link: https://www.econbiz.de/10001755396