"A semiparametric factor model for CDO surfaces dynamics."

Barbara Choros-Tomczyk, Wolfgang Karl Härdle, Ostap Okhrin (2016)

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DOI: 10.1016/J.JMVA.2015.09.002

access: open

type: Journal Article

metadata version: 2021-02-17

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Barbara Choros-Tomczyk, Wolfgang Karl Härdle, Ostap Okhrin:
A semiparametric factor model for CDO surfaces dynamics. J. Multivar. Anal. 146: 151-163 (2016)

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