Conditional dependence of US and EU sovereign CDS : a time-varying copula-based estimation
Ahmed Atil, Marc Bradford, Abdelaziz Elmarzougui, Amine Lahiani
| Year of publication: |
November 2016
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|---|---|
| Authors: | Atil, Ahmed ; Bradford, Marc ; El Marzougui, Abdelaziz ; Lahiani, Amine |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 19.2016, p. 42-53
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| Subject: | Sovereign CDS spreads | European debt crisis | Time-varying copulas | Kreditderivat | Credit derivative | Multivariate Verteilung | Multivariate distribution | Eurozone | Euro area | Öffentliche Schulden | Public debt | Länderrisiko | Country risk | Zinsstruktur | Yield curve | Schuldenkrise | Debt crisis | Öffentliche Anleihe | Public bond | Internationale Staatsschulden | International sovereign debt | Risikoprämie | Risk premium | EU-Staaten | EU countries | Finanzkrise | Financial crisis | Kreditrisiko | Credit risk | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2016.06.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011657442