Essays about: "cross-sectional dependence"
Showing result 16 - 17 of 17 essays containing the words cross-sectional dependence.
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16. Transfer of Sovereign Credit Risk to Corporate Borrowing Costs, Evidence from the European Debt Crisis
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper studies whether a risk transfer relationship exists between sovereigns and domestic firms in developed economies. We provide empirical evidence that increases in a government's perceived credit risk have considerable negative implications on its private sector by increasing firm cost of borrowing. READ MORE
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17. Stochastic modeling of yield curve shifts usingfunctional data analysis
University essay from KTH/Matematisk statistikAbstract : This thesis approaches the problem of modeling the multivariate distribution of interest rates by implementing a novel tool of statistics known as functional data analysis (FDA). This is done by viewing yield curve shifts as distinct but continuous stochastic objects defined over a continuum of maturities. READ MORE
