A Theoretical Argument Why the t-Copula Explains Credit...

A Theoretical Argument Why the t-Copula Explains Credit Risk Contagion Better than the Gaussian Copula

Cossin, Didier, Schellhorn, Henry, Song, Nan, Tungsong, Satjaporn
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Volume:
2010
Year:
2010
Language:
english
Journal:
Advances in Decision Sciences
DOI:
10.1155/2010/546547
File:
PDF, 2.56 MB
english, 2010
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