Contagion phenomena with applications in finance / / Serge Darolles, Christian Gourieroux
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| Autore: |
Darolles Serge
|
| Titolo: |
Contagion phenomena with applications in finance / / Serge Darolles, Christian Gourieroux
|
| Pubblicazione: | Oxford, UK : , : Elsevier Science, , 2015 |
| Descrizione fisica: | 1 online resource (168 p.) |
| Disciplina: | 332 |
| Soggetto topico: | Financial crises |
| International finance | |
| Financial risk management | |
| Persona (resp. second.): | GourierouxChristian |
| Note generali: | Description based upon print version of record. |
| Nota di bibliografia: | Includes bibliographical references and index. |
| Nota di contenuto: | Front Cover; Contagion Phenomena with Applications in Finance; Copyright; Contents; Introduction; Chapter 1: Contagion and Causality in Static Models; 1.1. Linear Dependence in a Static Model; 1.2. Nonlinear Dependence in a Static Model; 1.3. Model with Exogenous Switching Regimes; 1.4. Chapter 1 Highlights; 1.5. Appendices; Chapter 2: Contagion in Structural VARMA Models; 2.1. Shocks in a Dynamic Model; 2.2. A Vector Autoregressive Moving Average (VARMA) Model with Independent Errors; 2.3. Non-Fundamentalness; 2.4. Chapter 2 Highlights; 2.5. Appendices |
| Chapter 3: Common Frailty Versus Contagion in Linear Dynamic Models3.1. Linear Dynamic Model with Common Factor and Contagion; 3.2. Observable Versus Latent Factors; 3.3. Shocks, Impulse Response Functions and Stress; 3.4. Constrained Models and Misspecification; 3.5. The Literature; 3.6. Chapter 3 Highlights; 3.7. Appendices; Chapter 4: Applications of Linear Dynamic Models; 4.1. Portfolio Management; 4.2. Contagion Among Banks; 4.3. Chapter 4 Highlights; 4.4. Appendices; Chapter 5: Common Frailty and Contagion in Nonlinear Dynamic Models; 5.1. Specifications | |
| 5.2. Stochastic Volatility Model5.3. Application to Portfolio Management; 5.4. Chapter 5 Highlights; 5.5. Appendices; Chapter 6: An Application of Nonlinear Dynamic Models: The Hedge Fund Survival; 6.1. HF Liquidation Data; 6.2. Dynamic Poisson Model; 6.3. Results; 6.4. Stress-Tests; 6.5. Chapter 6 Highlights; 6.6. Appendices; Bibliography; Index; Back Cover | |
| Titolo autorizzato: | Contagion phenomena with applications in finance |
| ISBN: | 0-08-100478-8 |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910583055503321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |