Year: 2021
Type: preprint
Abstract: Asset correlations are an intuitive and therefore popular way to incorporate event dependence into event risk, e.g., default risk, modeling. In this paper we study the case of estimation of inter-sector asset correlations by separation of cross-sectional dimension and time dimension.
Author: Meyer, Christian
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3215636493
Cites:
Cited by:
Related to: