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Copula-Based Factor Model for Credit Risk Analysis
A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties.
A first econometric analysis of the CRIX family
Here we provide a first econometric analysis of the CRIX family within a time-series framework.
Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists
We propose how to quantify high-frequency market sentiment using high-frequency news from NASDAQ news platform and support vector machine classifiers.
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