Correlation in corporate defaults: Contagion or conditional independence?

Journal of Financial Intermediation

Volumn 19, Issue 3, 2010, Pages 355-372

  Lando, David ^a   Nielsen, Mads Stenbo ^a  

^a Copenhagen Business School ^*  (Denmark)

Author keywords

Default correlation; Hawkes process; Intensity estimation

Indexed keywords

EID: 77952885303     PISSN: 10429573     EISSN: 10960473     Source Type: Journal    
DOI: 10.1016/j.jfi.2010.03.002     Document Type: Article

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