An empirical study on the correlation structure of credit spreads based on the dynamic and pair copula functions

Changqing Luo, Mengzhen Li and Zisheng Ouyang

Year of publication:	2016
Authors:	Changqing, Luo ; Li, Mengzhen ; Ouyang, Zisheng
Published in:	China finance review international. - Bingley : Emerald, ISSN 2044-1398, ZDB-ID 2681650-7. - Vol. 6.2016, 3, p. 284-303
Subject:	Canonical vine \| Correlation structure \| Credit spreads \| D vine copula \| Dynamic copula function \| Minimum spanning tree \| Multivariate Verteilung \| Multivariate distribution \| Kreditrisiko \| Credit risk \| Korrelation \| Correlation \| Theorie \| Theory \| Zinsstruktur \| Yield curve

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