Financial derivatives and default dependence : a time-varying copula approach
Xuan Zhang, Ding Liu, Yang Zhao and Zhekai Zhang
| Year of publication: |
2021
|
|---|---|
| Authors: | Zhang, Xuan ; Liu, Ding ; Zhao, Yang ; Zhang, Zhekai |
| Subject: | copula | default dependence | dynamic | Financial derivatives | Derivat | Derivative | Multivariate Verteilung | Multivariate distribution | Kreditrisiko | Credit risk | Insolvenz | Insolvency | Optionspreistheorie | Option pricing theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2020.1788707 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012589711