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Dynamic Implied Correlation Modeling and Forecasting in Structured Finance

  • Published:2013-06-24 Issue:11 Volume:33 Page:994-1023
  • ISSN:0270-7314
  • Container-title:Journal of Futures Markets
  • language:en
  • Short-container-title:

Author:

Löhr Sebastian1,Mursajew Olga1,Rösch Daniel2,Scheule Harald3

Affiliation:

1. Sebastian Löhr and Olga Mursajew are at the Institute of Banking and Finance; Leibniz University of Hannover; Germany

2. Daniel Rösch is at the Department of Statistics; University of Regensburg; Germany

3. Harald Scheule is at the Finance Discipline Group; UTS Business School, University of Technology; Sydney; Australia

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference29 articles.

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5. A Simple Econometric Approach for Modeling Stress Event Intensities;Journal of Futures Markets;2014-10-16
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