Luo, Changqing; Li, Mengzhen; Ouyang, Zisheng - In: China Finance Review International 6 (2016) 3, pp. 284-303
Purpose – The purpose of this paper is to study the correlation structure of the credit spreads. Design/methodology/approach – The minimal spanning tree is used to find the risk center node and the basic correlation structure of the credit spreads. The dynamic copula and pair copula models...
