Essays on Risk and Volatility
In this work, we begin with an investigation into the temporal correlation in default risk. We first establish a link between the dynamics of house price changes and the dynamics of default rates in the Gaussian copula framework by specifying a time series model for a common risk factor. We show tha...
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| Format: | Others |
| Language: | en |
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LSU
2011
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| Online Access: | http://etd.lsu.edu/docs/available/etd-11032011-153514/ |