Modelling credit spreads with time volatility, skewness, and kurtosis.

Ephraim Clark Selima Baccar

Published in: Ann. Oper. Res. (2018)

Keyphrases

standard deviation
higher order statistics
small size
risk evaluation
credit risk
credit scoring
real time
stock market
case study
learning algorithm
multiscale
support vector
stock price
risk analysis
genetic algorithm
data mining
financial crisis
database