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The top documents of syrto-project
Global credit risk cycles, lending standards, and limits to cross border risk diversification. Bernd Schwaab, Siem Jan Koopman, André Lucas. July, 2 2014
505 views
Network Connectivity and Systematic Risk - Monica Billio. December, 15 2014
407 views
Systemic Risk Tomography: Project Overview - Roberto Savona. december, 15 2014
365 views
Detecting Financial Danger Zones with Machine Learning - Marika Vezzoli. December, 15 2014
436 views
Measuring the behavioral component of financial fluctuaction. An analysis based on the S&P 500 - Caporin M., Corazzini L., Costola M. - November 8, 2013
40 views
Communication impacting financial markets - Jørgen Vitting Andersen, Ioannis Vrontos, Petros Dellaportas and Serge Galam. December, 14 2013
28 views
Measuring the behavioral component of financial fluctuation: an analysis based on the S&P500 - Caporin M., Corazzini L., Costola M. June, 27 2013
19 views
Spillover dynamics for systemic risk measurement using spatial financial time series models - Blasques F., Koopman S.J., Lucas A., Schaumburg J. June, 12 2014
40 views
Spatial GAS Models for Systemic Risk Measurement - Blasques F., Koopman S.J., Lucas A., Schaumburg J. January, 9 2014
39 views
Measuring credit risk in a large banking system: econometric modeling and empirics - Andre Lucas, Bernd Schwaab, Xin Zhang. June, 7 2013
71 views
On the (ab)use of Omega? - Caporin M., Costola M., Jannin G., Maillet B. December 15, 2013
28 views
A GARCH analysis of dark-pool trades - Philippe de Peretti, Oren J. Tapiero .December, 15 2013
36 views
Sovereign credit risk, liquidity, and the ecb intervention: deus ex machina? - Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno. June, 5 2014
60 views
Regulation et risque systémique - Monica Billio. April, 7-11 2013
27 views
Blind Signal Separation & Multivariate Non-Linear Dependency Measures - Peter Addo. December, 15 2014
430 views
Spillover dynamics for sistemic risk measurement using spatial financial time series models. Julia Schaumburg, Andre Lucas, Siem Jan Koopman, and Francisco Blasques. Toulouse, August
80 views
Finding number of groups using a penalized internal cluster quality index - Marica Manisera, , Marika Vezzoli. September, 19 2013
13 views
Bayesian Graphical Models for Structural Vector Autoregressive Processes - D. F. Ahelegbey, M. Billio, R. Casarin. November 21, 2013
37 views
The microstructure of the european sovereign bond market. Loriana Pellizzon. May, 9 2013
70 views
Score-driven models for forecasting - Blasques F., Koopman S.J., Lucas A.. June, 14 2014
20 views
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