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Credit Contagion in a Long Range Dependent Macroeconomic Factor Model

  • Biagini F
  • Fuschini S
  • Klüppelberg C
Springer Berlin Heidelberg, (2011), 105-132
DOI: 10.1007/978-3-642-18412-3_4
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Biagini, F., Fuschini, S., & Klüppelberg, C. (2011). Credit Contagion in a Long Range Dependent Macroeconomic Factor Model. In Advanced Mathematical Methods for Finance (pp. 105–132). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-642-18412-3_4

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