Rikhotso, Prayer M.; Simo-Kengne, Beatrice D. - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-22
This study investigates the tail dependence structures of sovereign credit default swaps (CDSs) and three global risk … factors in BRICS countries using a copula approach, which is popular for capturing the 'true' tail dependence based on the …