Modelling the dependence structures of Australian iTraxx CDS index
Jean-pierre Fenech, Hamed Vosgha and Salwa Shafik
| Year of publication: |
2014
|
|---|---|
| Authors: | Fenech, Jean-pierre ; Vosgha, Hamed ; Shafik, Salwa |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 46.2014, 4/6, p. 420-431
|
| Subject: | Archimedean copulas | nonparametric estimates | iTraxx CDS indices | Kreditderivat | Credit derivative | Multivariate Verteilung | Multivariate distribution | Australien | Australia | Aktienindex | Stock index | Kreditrisiko | Credit risk | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics |
| 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://www.econbiz.de/10010358995