Modelling credit default swap spreads by means of normal mixtures and copulas (Q4673732)
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scientific article; zbMATH DE number 2166445
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| English | Modelling credit default swap spreads by means of normal mixtures and copulas |
scientific article; zbMATH DE number 2166445 |
Statements
Modelling credit default swap spreads by means of normal mixtures and copulas (English)
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9 May 2005
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finite mixture distributions
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copula
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credit default swap spread
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non-parametric bootstrap
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0.8884189
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0.87065786
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0.87000436
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0.8669535
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0.86641216
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0.8661361
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0.86588913
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0.86395764
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