A semiparametric factor model for CDO surfaces dynamics

Research output: Contribution to journal › Research article › Contributed › peer-review

Contributors

Details

Original languageEnglish
Pages (from-to)151-163
Number of pages13
JournalJournal of Multivariate Analysis
Publication statusPublished - 2016
Peer-reviewedYes

External IDs

Scopus 84948807641
researchoutputwizard legacy.publication#75569
ORCID /0000-0002-8909-4861/work/154741309

Keywords

Keywords

  • CDO Curve trade Dynamic factor model Semiparametric model Surfaces dynamics