A Simple Econometric Approach for Modeling Stress Event Intensities-Reference-Cited by-同舟云学术

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A Simple Econometric Approach for Modeling Stress Event Intensities

Published:2014-10-16 Issue:4 Volume:35 Page:300-320
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:

Author:

Jobst Rainer¹,Rösch Daniel¹,Scheule Harald²,Schmelzle Martin¹

Affiliation:

1. Rainer Jobst, Daniel Rösch, and Martin Schmelzle are at the Chair of Statistics and Risk Management; Universität Regensburg; Germany

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

Funder

Center for International Finance and Regulation

Publisher

Wiley

Subject

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

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.21695/fullpdf

Reference37 articles.

1. Dynamic conditional correlation: On properties and estimation;Aielli;Journal of Business & Economic Statistics,2013

2. Altman , E. I. 2011 Default recovery rates and LGD in credit risk modeling and practice A. Lipton A. Rennie 39 65

3. The link between default and recovery rates: Theory, empirical evidence, and implications;Altman;The Journal of Business,2005

4. A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models;Bauwens;Journal of Business & Economic Statistics,2005

5. Multivariate GARCH models: A survey;Bauwens;Journal of Applied Econometrics,2006

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1. A new weighting-scheme for equity indexes;International Review of Financial Analysis;2017-11

2. Concluding Remarks;Credit Risk Analytics;2017-07-10

3. A correlated structural credit risk model with random coefficients and its Bayesian estimation using stock and credit market information;The Journal of Risk Model Validation;2016

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