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The ScoD model : analyzing durations with a semiparametric copula approach
Savu, Cornelia; Ng, Wing Lon - 2006
Persistent link: https://www.econbiz.de/10003347599
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Goodness-of-fit tests for parametric families of Archimedean copulas
Trede, Mark; Savu, Cornelia - 2004
Persistent link: https://www.econbiz.de/10002688693
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Goodness-of-fit tests for parametric families of Archimedean copulas
Savu, Cornelia; Trede, Mark - 2004
This paper suggests a goodness-of-fit test for parametric families of Archimedean copulas for high dimensional distributions. The test statistic is based on the classical chi-square-statistic but has a nonstandard asymptotic distribution. Monte-Carlo simulations show that the test keeps the...
Persistent link: https://www.econbiz.de/10009349860
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The signalling properties of the shape of the credit default swap term structure
Castellanos, Jenny; Constantinou, Nick; Wing Lon Ng - In: Journal of risk 17 (2014/2015) 4, pp. 71-99
Persistent link: https://www.econbiz.de/10013262935
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Enhancing credit default swap valuation with meshfree methods
Guarin, Alexander; Liu, Xiaoquan; Wing Lon Ng - In: European journal of operational research : EJOR 214 (2011) 3, pp. 805-813
Persistent link: https://www.econbiz.de/10009316165
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Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
Yue Peng; Wing Lon Ng - In: Annals of finance 8 (2012) 1, pp. 49-74
Persistent link: https://www.econbiz.de/10009510581
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Intraday liquidity patterns in limit order books
Malik, Azeem; Wing Lon Ng - In: Studies in economics and finance 31 (2014) 1, pp. 46-71
Persistent link: https://www.econbiz.de/10010258798
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Recovering default risk from CDS spreads with a nonlinear filter
Guarin, Alexander; Liu, Xiaoquan; Wing Lon Ng - In: Journal of economic dynamics & control 38 (2014), pp. 87-104
Persistent link: https://www.econbiz.de/10010387855
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Ökonometrische Modellierung von Durationsprozessen ultra-hoch frequenter Orderbuchdaten
Ng, Wing Lon - 2005
Persistent link: https://www.econbiz.de/10003294866