- Joined
- 7/21/10
- Messages
- 1
- Points
- 11
Hi guys,
I am new here and it's nice to meet you all.
I would like to ask the members, what it means to model the correlation between credit spreads with different ratings, using econometric techniques like DCC-GARCH? and whether there are any related papers.
Thanks all!
I am new here and it's nice to meet you all.
I would like to ask the members, what it means to model the correlation between credit spreads with different ratings, using econometric techniques like DCC-GARCH? and whether there are any related papers.
Thanks all!