Center for Mathematical Sciences
Technische Universität München (TUM)
in Total Papers Citations
credit risk, credit default swaps, iTraxx index, vector autoregression, multivariate GARCH, BEKK
Continuous-time GARCH model, Levy process, option pricing, stochastic volatility, statistics for stochastic processes, functional limit theorems
Bayesian Network; Financial Contagion; Measure of Systemic Risk; Multivariate Default Risk; Probability of Default; Structural Default Risk Model; Systemic Risk
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File name: ectj.pdf
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File name: ECTJ090.pdf
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File name: jtsa12022.pdf
CARMA process, continuous‐time moving average process, FICARMA process, high‐frequency data, kernel estimation, regular variation, spectral theory, turbulence, Wold representation
File name: j-9892.pdf
CARMA process, high‐frequency data, discretely sampled process
File name: JTSA.pdf
Dependence structure, Godambe information matrix, Lévy copula, maximum likelihood estimation, multi‐variate Lévy process, reduced likelihood, two‐step parameter estimation
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