A semiparametric factor model for CDO surfaces dynamics
Choroś-Tomczyk, Barbara, Härdle, Wolfgang Karl, Okhrin, OstapLanguage:
english
Journal:
Journal of Multivariate Analysis
DOI:
10.1016/j.jmva.2015.09.002
Date:
September, 2015
File:
PDF, 1.91 MB
english, 2015