A semiparametric factor model for CDO surfaces dynamics (Q268745): Difference between revisions
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| Property / author: Wolfgang Karl Härdle / rank | |||
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| Property / author: Wolfgang Karl Härdle / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62M20 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G40 / rank | |||
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| Property / zbMATH DE Number: 6569582 / rank | |||
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CDO | |||
| Property / zbMATH Keywords: CDO / rank | |||
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curve trade | |||
| Property / zbMATH Keywords: curve trade / rank | |||
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dynamic factor model | |||
| Property / zbMATH Keywords: dynamic factor model / rank | |||
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semiparametric model | |||
| Property / zbMATH Keywords: semiparametric model / rank | |||
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surfaces dynamics | |||
| Property / zbMATH Keywords: surfaces dynamics / rank | |||
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| Property / full work available at URL: https://doi.org/10.1016/j.jmva.2015.09.002 / rank | |||
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Latest revision as of 01:06, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A semiparametric factor model for CDO surfaces dynamics |
scientific article |
Statements
A semiparametric factor model for CDO surfaces dynamics (English)
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15 April 2016
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CDO
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curve trade
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dynamic factor model
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semiparametric model
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surfaces dynamics
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