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Extreme Events and the Copula Pricing of Commercial Mortgage-Backed Securities

✍ Scribed by Zhan Yong Liu; Gang-Zhi Fan; Kian Guan Lim


Publisher
Springer US
Year
2008
Tongue
English
Weight
329 KB
Volume
38
Category
Article
ISSN
0895-5638

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The authors would like to thank James Weston, Michael Highfield, and participants at 2003 meeting of the Southern Finance Association. We would also like to thank an anonymous referee whose comments substantially improved this article. The College of Business, James Madison University, supported thi