Modeling the dependence structure between default risk premium, equity return volatility and the jump risk : evidence from a financial crisis
Nader Naifar
| Year of publication: |
2012
|
|---|---|
| Authors: | Naifar, Nader |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 29.2012, 2, p. 119-131
|
| Subject: | Nonlinear dynamics | Archimedean copulas | Subprime crisis | Credit default swap | iTraxx CDS index | Equity return volatility | Kurtosis of equity return distribution | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Kapitaleinkommen | Capital income | Volatilität | Volatility | Risikoprämie | Risk premium | Finanzkrise | Financial crisis | Multivariate Verteilung | Multivariate distribution | Aktienindex | Stock index | Kapitalmarktrendite | Capital market returns | Börsenkurs | Share price |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009536052