Correlated risks vs contagion in stochastic transition models
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- Patrick Gagliardini & Christian Gouriéroux, 2012. "Correlated Risks vs Contagion in Stochastic Transition Models," Working Papers 2012-07, Center for Research in Economics and Statistics.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Gouriéroux, C. & Monfort, A. & Renne, J.P., 2014.
"Pricing default events: Surprise, exogeneity and contagion,"
Journal of Econometrics,
Elsevier, vol. 182(2), pages 397-411.
- Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2013. "Pricing Default Events : Surprise, Exogeneity and Contagion," Working Papers 2013-03, Center for Research in Economics and Statistics.
- Gouriéroux, C. & Monfort, A. & Renne, J-P., 2013. "Pricing Default Events: Surprise, Exogeneity and Contagion," Working papers 455, Banque de France.
- Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2012. "Survival of Hedge Funds : Frailty vs Contagion," Working Papers 2012-36, Center for Research in Economics and Statistics.
- repec:eee:jmvana:v:165:y:2018:i:c:p:194-215 is not listed on IDEAS
More about this item
KeywordsFrailty; Systematic risk; Contagion; INAR model; Granularity adjustment;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
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