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Gernot Müller
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1.
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
Irene Schreiber
, Gernot Müller,
C. Klüppelberg
and
Niklas Wagner
affiliation not provided to SSRN
,
affiliation not provided to SSRN
, Technische Universität München (TUM) and Passau University
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Abstract:
credit risk, credit default swaps, iTraxx index, vector autoregression, multivariate GARCH, BEKK
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