Modelling bursts and chaos regularization in credit risk with a deterministic nonlinear model-Reference-Cited by-同舟云学术

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Modelling bursts and chaos regularization in credit risk with a deterministic nonlinear model

Published:2021-12 Issue: Volume: Page:102599
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Orlando Giuseppe^ORCID,Bufalo Michele

Publisher

Elsevier BV

Subject

Finance

Reference55 articles.

1. Dynamics of credit spread moments of European corporate bond indexes;Alizadeh;J. Bank. Financ.,2013

2. The use of GARCH models in VaR estimation;Angelidis;Stat. Methodol.,2004

3. Variability and effect of noise on the corporate dynamics of coupled oscillators;Bashkirtseva,2019

4. The dynamics of bond yield spreads around rating revision dates;Batchelor;J. Financ. Res.,2006

5. The pricing of commodity contracts;Black;J. Financ. Econ.,1976

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