Marcus Wunsch

UBS AG

Bahnhofstrasse 45

Zurich, 8001

Switzerland

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Scholarly Papers (1)

Moment Estimators for Autocorrelated Time Series and Their Application to Default Correlations

Journal of Credit Risk, Vol. 14, No. 1, 2018
Number of pages: 30 Posted: 16 Mar 2018
Christoph Frei and Marcus Wunsch
University of Alberta - Department of Mathematical and Statistical Sciences and UBS AG
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Abstract:

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autocorrelation, credit risk, latent asset return correlation, method of moments (MoM), bias correction.