Dependence in credit default swap and equity markets : dynamic copula with Markov-switching
Fei Fei, Ana-Maria Fuertes, Elena Kalotychou
| Year of publication: |
July-September 2017
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|---|---|
| Authors: | Fei, Fei ; Fuertes, Ana María ; Kalotychou, Elena |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 33.2017, 3, p. 662-678
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| Subject: | Credit spread | Copula | Dependence | Regime switching | Tail dependence | Value-at-Risk | Multivariate Verteilung | Multivariate distribution | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Markov-Kette | Markov chain | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Aktienmarkt | Stock market | Theorie | Theory | Statistische Verteilung | Statistical distribution | Risikoprämie | Risk premium | Zinsstruktur | Yield curve | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2017.01.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011746197