On Modeling Economic Default Time: A Reduced-Form Model Approach

Research output: Contribution to journal › Journal article › Research › peer-review

Standard

On Modeling Economic Default Time: A Reduced-Form Model Approach. / Gu, Jia-Wen; Jiang, Bo; Ching, Wai-Ki; Zheng, Harry.

In: Computational Economics, Vol. 47, No. 2, 02.2016, p. 157-177.

Research output: Contribution to journal › Journal article › Research › peer-review

Harvard

Gu, J-W, Jiang, B, Ching, W-K & Zheng, H 2016, 'On Modeling Economic Default Time: A Reduced-Form Model Approach', Computational Economics, vol. 47, no. 2, pp. 157-177. https://doi.org/10.1007/s10614-014-9469-0

APA

Gu, J-W., Jiang, B., Ching, W-K., & Zheng, H. (2016). On Modeling Economic Default Time: A Reduced-Form Model Approach. Computational Economics, 47(2), 157-177. https://doi.org/10.1007/s10614-014-9469-0

Vancouver

Gu J-W, Jiang B, Ching W-K, Zheng H. On Modeling Economic Default Time: A Reduced-Form Model Approach. Computational Economics. 2016 Feb;47(2):157-177. https://doi.org/10.1007/s10614-014-9469-0

Author

Gu, Jia-Wen ; Jiang, Bo ; Ching, Wai-Ki ; Zheng, Harry. / On Modeling Economic Default Time: A Reduced-Form Model Approach. In: Computational Economics. 2016 ; Vol. 47, No. 2. pp. 157-177.

Bibtex

@article{39fd050164fb4c15ab65e7649596404b,
title = "On Modeling Economic Default Time: A Reduced-Form Model Approach",
keywords = "Economic default time, Reduced-form model, Affine jump diffusion model",
author = "Jia-Wen Gu and Bo Jiang and Wai-Ki Ching and Harry Zheng",
year = "2016",
month = feb,
doi = "10.1007/s10614-014-9469-0",
language = "English",
volume = "47",
pages = "157--177",
journal = "Computational Economics",
issn = "0927-7099",
publisher = "Springer",
number = "2",

}

RIS

TY - JOUR

T1 - On Modeling Economic Default Time: A Reduced-Form Model Approach

AU - Gu, Jia-Wen

AU - Jiang, Bo

AU - Ching, Wai-Ki

AU - Zheng, Harry

PY - 2016/2

Y1 - 2016/2

KW - Economic default time

KW - Reduced-form model

KW - Affine jump diffusion model

U2 - 10.1007/s10614-014-9469-0

DO - 10.1007/s10614-014-9469-0

M3 - Journal article

VL - 47

SP - 157

EP - 177

JO - Computational Economics

JF - Computational Economics

SN - 0927-7099

IS - 2

ER -

ID: 169140802