Dynamic Copula Processes: A new Way of Modelling CDO Tranches

Daniel Totouom Tangho and Margaret Armstrong ()
Additional contact information
Daniel Totouom Tangho: CERNA i3 - Centre d'économie industrielle i3 - Mines Paris - PSL (École nationale supérieure des mines de Paris) - PSL - Université Paris Sciences et Lettres - I3 - Institut interdisciplinaire de l’innovation - CNRS - Centre National de la Recherche Scientifique
Margaret Armstrong: CERNA i3 - Centre d'économie industrielle i3 - Mines Paris - PSL (École nationale supérieure des mines de Paris) - PSL - Université Paris Sciences et Lettres - I3 - Institut interdisciplinaire de l’innovation - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Date: 2008
References: Add references at CitEc
Citations:

Published in Thomas B. Fomby, Jean-Pierre Fouque, and Knut Solna. Econometrics and Risk Management, Emerald, pp.85-102, 2008, Advances in Econometrics v. 22, 9781848551961

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00842103

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().