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A Simple Econometric Approach for Modeling Stress Event Intensities

Jobst, Rainer, Rösch, Daniel, Scheule, Harald and Schmelzle, Martin (2015) A Simple Econometric Approach for Modeling Stress Event Intensities. Journal of Futures Markets 35 (4), pp. 300-320.

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Abstract

The authors would like to thank the editor Bob Webb, and the participants of the 2014 Deakin University Conference on the Performance of Financial Markets and Credit Derivatives for helpful and valuable comments. The support by the Centre for International Finance and Regulation (CIFR, project number E001) is gratefully acknowledged. CIFR is funded by the Commonwealth and NSW Governments and supported by other Consortium members (see www.cifr.edu.au).


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Item type:Article
Date:April 2015
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Identification Number:
ValueType
10.1002/fut.21695DOI
Dewey Decimal Classification:300 Social sciences > 330 Economics
500 Science > 510 Mathematics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:31537
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