Andreas Eckner

Stanford University

Stanford, CA 94305

United States

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

A Multivariate Garch Model with Volatility Spill-Over and Time-Varying Correlations

Number of pages: 15 Posted: 20 Feb 2007
Andreas Eckner
Stanford University
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Dynamic Correlation, Multivariate GARCH, Volatility

2.

Frailty Correlated Default

Swiss Finance Institute Research Paper No. 08-44
Number of pages: 53 Posted: 23 Dec 2008
Stanford University - Graduate School of Business, Stanford University - Department of Statistics, Independent and Stanford University
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correlated default, doubly stochastic, frailty, latent factor