Sovereign risk in the Euro area: a multivariate stochastic process approach

DOI10.1080/14697688.2017.1357968zbMath1402.91844OpenAlexW2753696878MaRDI QIDQ4555203

Laura Parisi, Paolo Giudici

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1357968

zbMATH Keywords

systemic riskcorrelated stochastic processesdebt/GDP ratio

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) Credit risk (91G40)

Related Items (2)

Financial data science ⋮ Effective transfer entropy to measure information flows in credit markets

Cites Work

• Simulation and inference for stochastic differential equations. With R examples.
• A Theory of the Term Structure of Interest Rates
• Likelihood-based inference for correlated diffusions
• Financial Network Systemic Risk Contributions

This page was built for publication: Sovereign risk in the Euro area: a multivariate stochastic process approach