On Default Correlation

By David X. Li. 2000

645 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/b6b3efb7d1e0d642f694c5536316331e689b24d2

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Fotios Petropoulos
2. Konstantinos Nikolopoulos
3. Rob J Hyndman
4. Nikolaos Kourentzes
5. Vassilios Assimakopoulos
6. Evangelos Spiliotis
7. Spyros Makridakis
8. Christoph Bergmeir

In Finance

1. David F. Hendry
2. David E. Rapach
3. Michael P. Clements
4. Jennifer L. Castle
5. Feng Li
6. Xiaoqian Wang
7. Yanfei Kang
8. Allan G. Timmermann

In Management Science and Operations Research

1. Fotios Petropoulos
2. Rob J Hyndman
3. Konstantinos Nikolopoulos
4. Nikolaos Kourentzes
5. Vassilios Assimakopoulos
6. Spyros Makridakis
7. Evangelos Spiliotis
8. Christoph Bergmeir

Citations in the corpus

• Forecasting: theory and practice (2020, methodology): “Copulas are also widely used to detect and forecast default correlation, which is a random variable called time-until-default to denote the survival time of each defaultable entity or financial instrument (Li, 2000).”