Gernot Müller

affiliation not provided to SSRN

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Scholarly Papers (1)

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Equities, Credits and Volatilities: A Multivariate Analysis of the European Market During the Sub-Prime Crisis

Number of pages: 17 Posted: 26 Oct 2009 Last Revised: 25 Jun 2012
affiliation not provided to SSRN, affiliation not provided to SSRN, Technische Universität München (TUM) and Passau University
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Citation 4

Abstract:

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credit risk, credit default swaps, iTraxx index, vector autoregression, multivariate GARCH, BEKK