Estimating asset correlations from stock prices or default rates -- which method is superior?
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Publication:609846
DOI10.1016/j.jedc.2010.06.003zbMath1201.91225OpenAlexW2125262335MaRDI QIDQ609846
Klaus Duellmann, Jonathan Küll, Michael Kunisch
Publication date: 1 December 2010
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2010.06.003
Estimation in multivariate analysis (62H12) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Credit risk (91G40)
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