Dr. Barbara Choroś-Tomczyk

High Dimensional Nonstationary Time Series | Barbara Choroś-Tomczyk

Dr. Barbara Choroś-Tomczyk

E-mail:
Telephone:	+49 30 2093-1470
Fax:	+49 30 2093-5649
Postal Address:	Ladislaus von Bortkiewicz Chair of Statistics C.A.S.E. - Center for Applied Statistics & Economics Humboldt-Universität zu Berlin Unter den Linden 6 10099 Berlin, Germany
Office:	School of Business and Economics Spandauer Strasse 1, room 311 10178 Berlin, Germany
Consultation hours:	Friday, 11.00-12.00

Project

Copula Dynamics in Collateralized Debt Obligations

Papers

Choroś-Tomczyk, B., Härdle, W. and Overbeck, L. (2013). Copula Dynamics in CDOs.
Quantitative Finance, Forthcoming, DOI: 10.1080/14697688.2013.847280
(Working paper version here)

Choroś-Tomczyk, B., Härdle, W. and Okhrin, O. (2013). Valuation of Collateralized Debt Obligations with Hierarchical Archimedean Copulae, Journal of Empirical Finance, 24: 42–62, DOI: 10.1016/j.jempfin.2013.08.001
(Working paper version under the title CDO and HAC)

Choroś-Tomczyk, B., Härdle, W. and Okhrin, O. (2013). CDO Surfaces Dynamics.
Discussion paper, SFB 649, Humboldt Universität zu Berlin.
Submitted for publication

Choroś, B., Ibragimov, R. and Permiakova, E. (2010). Copula Estimation.
in: Workshop on Copula Theory and its Applications, Durante, F., Härdle, W., Jaworski, P. , Rychlik, T., (eds.), Springer, Dortrecht (NL).

Choroś, B., Härdle, W. and Okhrin, O. (2009). CDO Pricing with Copulae.
Bulletin of the International Statistical Institute, 57th Session, Vol. 57