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| | JEL Classification C32
"Multivariate: Time-Series Models"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C32 classification. (sorted by date) Credit Default Swap Spreads and US Financial Market: Investigating some dependence structure
by Hayette Gatfaoui of Rouen School of Management
(581K PDF) -- 27 pages -- September 2007 Migration Dependence Among the US Business Sectors
by Oussama Chakroun of HEC Montréal
(772K PDF) -- 31 pages -- June 20, 2007 Dynamical Analysis of Corporate Bonds based on the Yield Spread Term-Quality Surface
by Tomoaki Shouda of Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd and Hitotsubashi University
(2,907K PDF) –- 34 pages -- January 16, 2006 Global Business Cycles and Credit Risk
by M. Hashem Pesaran of the University of Cambridge,
Til Schuermann of the Federal Reserve Bank of New York and Wharton Financial Institutions Center, and
Björn-Jakob Treutler of Mercer Oliver Wyman
(837K PDF) –- 61 pages -- September 2005 A Structural Credit-Risk Model based on a Jump Diffusion
by Matthias Scherer of the University of Ulm
(277K PDF) -- 28 pages -- December 2, 2005 Macroeconomic Dynamics and Credit Risk: A Global Perspective
by M. Hashem Pesaran of the University of Cambridge & USC,
Til Schuermann of the Federal Reserve Bank of New York & Wharton University,
Björn-Jakob Treutler of Mercer Oliver Wyman & WHU, and
Scott M. Weiner of the University of Oxford
(921K) -- 60 pages -- April 12, 2005 The Pricing of Unexpected Credit Losses
by Jeffery D. Amato of the Bank for International Settlements, and
Eli M. Remolona of the Bank for International Settlements
(254K PDF) -- 41 pages -- May 2005 A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
by Robert J. Daniels of KPMG Mexico,
Siem Jan Koopman of Vrije Universiteit and Tingergen Institute Amsterdam, and
André Lucas of Tingergen Institute Amsterdam
(651K PDF) -- 32 pages -- January 31, 2005 How Does Systematic Risk Impact US Credit Spreads? A Copula Study
by Hayette Gatfaoui of the University Paris I - Panthéon-Sorbonne
(547K PDF) -- 27 pages -- June 2003
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