Márton Eifert

Technische Universität München (TUM)

Arcisstrasse 21

Munich, 80333

Germany

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Time Series Models for Credit Default Swap Premiums

Journal of Credit Risk, Vol. 11, No. 3, 2015
Number of pages: 24 Posted: 16 Jun 2016
Márton Eifert
Technische Universität München (TUM)
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Abstract:

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continuous-time ARMA processes, CARMAprocesses, credit default swaps, intensitybased models, normal inverse Gaussian process;,Ornstein–Uhlenbeck process.