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[1] "A multivariate GARCH model with volatility spill-over and time-varying correlations,"
Working Paper, Stanford University, March 2006.
[2] "Risk Premia in Structured Credit Derivatives,"
Working Paper, Stanford University, September 2007.
An implementation is available
in Matlab.
[3] "Frailty Correlated Default" (with Darrell Duffie, Guillaume Horel and
Leandro Saita), 2009, Journal of Finance 64, 2089-2123.
[4] "Computational Techniques for basic Affine Models of Portfolio Credit Risk,"
2009, Journal of Computational Finance 13, 63-97.
An implementation is available in Matlab.
[5] "A Note on Algorithms for Arbitrarily-Spaced Time Series,"
January 2010.
An implementation of the algorithms is available in the
programming language C.
[6] "Unevenly-Spaced Time Series Analysis,"
February 2010.
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