The Role of Copulas in the Housing Crisis
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- Oh, Dong Hwan & Patton, Andrew J., 2015. "Modelling Dependence in High Dimensions with Factor Copulas," Finance and Economics Discussion Series 2015-51, Board of Governors of the Federal Reserve System (U.S.).
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- Pérez, Ana & Prieto-Alaiz, Mercedes, 2016. "A note on nonparametric estimation of copula-based multivariate extensions of Spearman’s rho," Statistics & Probability Letters, Elsevier, vol. 112(C), pages 41-50.
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"Arbitrage opportunities, efficiency, and the role of risk preferences in the Hong Kong property market,"
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- David Zimmer, 2015. "Time-Varying Correlation in Housing Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 51(1), pages 86-100, July.
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More about this item
KeywordsClayton; Gumbel; CDO; conditional probability; dependence; bubble; contagion;
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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