Correlated default models driven by a multivariate regime-switching shot noise process
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Publication:5234107
DOI10.1093/IMAMAN/DPX004OpenAlexW2890445601MaRDI QIDQ5234107
Yinghui Dong, Guo-jing Wang, Kam-Chuen Yuen
Publication date: 25 September 2019
Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/imaman/dpx004
Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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