Dependence structures and risk spillover in China's credit bond market : a copula and CoVaR approach
Lu Yang, Lei Yang, Kung-Cheng Ho, Shigeyuki Hamori
| Year of publication: |
2020
|
|---|---|
| Authors: | Yang, Lu ; Yang, Lei ; Ho, Kung-Cheng ; Hamori, Shigeyuki |
| Published in: |
Journal of Asian economics. - Amsterdam [u.a.] : Elsevier Science, ISSN 1049-0078, ZDB-ID 1061920-3. - Vol. 68.2020
|
| Subject: | China | Copula | Credit bond market | Dependence structures | Risk spillover | Multivariate Verteilung | Multivariate distribution | Rentenmarkt | Bond market | Kreditrisiko | Credit risk | Spillover-Effekt | Spillover effect | Finanzmarkt | Financial market | Risikomaß | Risk measure | Öffentliche Anleihe | Public bond | Unternehmensanleihe | Corporate bond | Risikomanagement | Risk management | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.asieco.2020.101200 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012513082