Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model (Q6581975)
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scientific article; zbMATH DE number 7890862
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model |
scientific article; zbMATH DE number 7890862 |
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Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model (English)
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1 August 2024
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Cox-Ingersoll-Ross process
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credit default swaps
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stochastic modeling
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forecasting
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Feller process
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Chen model
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