Dynamic Implied Correlation Modeling and Forecasting in Structured Finance

C-Tier

Journal: Journal of Futures Markets

Year: 2013

Volume: 33

Issue: 11

Pages: 994-1023

Authors (4)

Sebastian Löhr (not in RePEc) Olga Mursajew (not in RePEc) Daniel Rösch (not in RePEc) Harald Scheule

Score contribution per author:

0.252 = (α=2.02 / 4 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count