A semiparametric factor model for CDO surfaces dynamics
DOI10.1016/J.JMVA.2015.09.002zbMATH Open1381.62268OpenAlexW3123196811MaRDI QIDQ268745FDOQ268745
Authors: Barbara Choroś-Tomczyk, Ostap Okhrin, Wolfgang K. Härdle 
Publication date: 15 April 2016
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2015.09.002
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Nonparametric estimation (62G05) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)
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Cited In (4)
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