Assessment of time-varying systemic risk in credit default swap indices : simultaneity and contagiousness
Geon Ho Choe, So Eun Choi, Hyun Jin Jang
| Year of publication: |
2020
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|---|---|
| Authors: | Choe, Geon Ho ; Choi, So Eun ; Jang, Hyun Jin |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 54.2020, p. 1-21
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| Subject: | Systemic risk | Calibration | CDS index | Forecasting | Interacting intensity-based model | Marshall-Olkin copula | Kreditderivat | Credit derivative | Systemrisiko | Kreditrisiko | Credit risk | Prognoseverfahren | Forecasting model | Multivariate Verteilung | Multivariate distribution | Finanzkrise | Financial crisis | Risikomaß | Risk measure | Welt | World | Ansteckungseffekt | Contagion effect | Risikoprämie | Risk premium |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2019.01.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012666122