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20072015
most citedCredit risk - A structural model with jumps and correlations

26 citations · 44 across the 5 of their papers we have counts for

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q-fin.ST2011★ 15 cited

A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market

Michael C. Münnix, Rudi Schäfer

We analyze the statistical dependency structure of the S&P 500 constituents in the 4-year period from 2007 to 2010 using intraday data from the New York Stock Exchange's TAQ databa…