CDO surfaces dynamics
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- Cao, Xiaofeng & Okhrin, Ostap & Odening, Martin & Ritter, Matthias, 2014. "Modelling spatiotemporal variability of temperature," SFB 649 Discussion Papers 2014-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Petra Burdejová & Wolfgang K. Härdle, 2019.
"Dynamic semi-parametric factor model for functional expectiles,"
Computational Statistics, Springer, vol. 34(2), pages 489-502, June.
- Burdejová, Petra & Härdle, Wolfgang Karl, 2017. "Dynamic semi-parametric factor model for functional expectiles," SFB 649 Discussion Papers 2017-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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More about this item
Keywords
base correlation; collateralized debt obligation; curve trade; dynamic factor model; semiparametric model;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2013-07-20 (Econometrics)
- NEP-RMG-2013-07-20 (Risk Management)
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