Conditional inferences based on vine copulas with applications to credit spread data of corporate bonds
Shenyi Pan, Harry Joe and Guofu Li
| Year of publication: |
2023
|
|---|---|
| Authors: | Pan, Shenyi ; Joe, Harry ; Li, Guofu |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 3, p. 714-741
|
| Subject: | bond credit spreads | conditional quantiles | conditional simulation | copula regression | prediction interval | tail dependence | Unternehmensanleihe | Corporate bond | Kreditrisiko | Credit risk | Multivariate Verteilung | Multivariate distribution | Zinsstruktur | Yield curve | Theorie | Theory | Regressionsanalyse | Regression analysis | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | Nichtparametrisches Verfahren | Nonparametric statistics | Statistische Verteilung | Statistical distribution | Simulation | Kreditwürdigkeit | Credit rating | Anleihe | Bond |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbab016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014314788