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Keywords: Autoregressive conditional duration
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2018) 19 (5): 454–477.
Published: 02 July 2018
... the default intensity hikes. These may include not only economically unsound banks but also small-sized banks which do not have the capacity or resources compared to US money center and larger banks. We use the autoregressive conditional duration (ACD) approach to encompass a contagion mechanism in line...
