Time-varying systemic risk : evidence from a dynamic copula model of CDS spreads
Year of publication: |
Apri 2018
|
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Authors: | Oh, Dong Hwan ; Patton, Andrew J. |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 36.2018, 2, p. 181-195
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Subject: | Correlation | DCC | Financial crises | Tail risk | Finanzkrise | Financial crisis | Kreditderivat | Credit derivative | Multivariate Verteilung | Multivariate distribution | Systemrisiko | Systemic risk | Kreditrisiko | Credit risk | Korrelation | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Welt | World | Bankrisiko | Bank risk |
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