The dependence structure in credit risk between money and derivatives markets : a time-varying conditional copula approch
Weiou Wu and David G. McMillan
| Year of publication: |
2014
|
|---|---|
| Authors: | Wu, Weiou ; McMillan, David G. |
| Published in: |
Managerial finance. - Bingley : Emerald Group Publishing Limited, ISSN 0307-4358, ZDB-ID 750561-9. - Vol. 40.2014, 8, p. 758-769
|
| Subject: | TED | CDS | Copula | Contagion | Kreditrisiko | Credit risk | Kreditderivat | Credit derivative | Multivariate Verteilung | Multivariate distribution | Derivat | Derivative | Theorie | Theory | Ansteckungseffekt | Contagion effect | Finanzmarkt | Financial market |
| 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/10010393653