Correlated risks vs contagion in stochastic transition models
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Publication:1994154
DOI10.1016/j.jedc.2013.05.016zbMath1402.91843OpenAlexW2078461679MaRDI QIDQ1994154
Christian Gouriéroux, Patrick Gagliardini
Publication date: 1 November 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: http://crest.science/RePEc/wpstorage/2012-07.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Credit risk (91G40)
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Risk contagion under regular variation and asymptotic tail independence, Pricing default events: surprise, exogeneity and contagion
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