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1
Assessment of time-varying systemic risk in credit default swap indices : simultaneity and contagiousness
Choe, Geon Ho
;
Choi, So Eun
;
Jang, Hyun Jin
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012666122
Saved in:
2
Rise and fall of synthetic CDO market : lessons learned
Jabłecki, Juliusz
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011787469
Saved in:
3
Systemic risk among European banks : a copula approach
Kleinow, Jacob
;
Moreira, Fernando
- In:
Journal of international financial markets, …
42
(
2016
),
pp. 27-42
Persistent link: https://www.econbiz.de/10011673405
Saved in:
4
Time-varying systemic risk : evidence from a dynamic copula model of CDS spreads
Oh, Dong Hwan
;
Patton, Andrew J.
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
2
,
pp. 181-195
Persistent link: https://www.econbiz.de/10011894575
Saved in:
5
Systemic risk in European financial and energy sectors : dynamic factor copula approach
Nevrla, Matěj
- In:
Economic systems
44
(
2020
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012593986
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6
A copula-based systemic risk measure : application to investment-grade and high-yield CDS portfolios
Choi, So Eun
;
Jang, Hyun Jin
;
Choe, Geon Ho
- In:
Applied economics letters
27
(
2020
)
15
,
pp. 1264-1271
Persistent link: https://www.econbiz.de/10012267120
Saved in:
7
Conditional dependence of US and EU sovereign CDS : a time-varying copula-based estimation
Atil, Ahmed
;
Bradford, Marc
;
El Marzougui, Abdelaziz
; …
- In:
Finance research letters
19
(
2016
),
pp. 42-53
Persistent link: https://www.econbiz.de/10011657442
Saved in:
8
The determinants of CDS spreads : evidence from the model space
Pelster, Matthias
;
Vilsmeier, Johannes
- In:
Review of derivatives research
21
(
2018
)
1
,
pp. 63-118
Persistent link: https://www.econbiz.de/10012055732
Saved in:
9
Bank-insurance risk spillovers : evidence from Europe
Dreassi, Alberto
;
Miani, Stefano
;
Paltrinieri, Andrea
; …
- In:
The Geneva papers on risk and insurance - issues and …
43
(
2018
)
1
,
pp. 72-96
Persistent link: https://www.econbiz.de/10012256016
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10
A spatial analysis of contagion in sovereign credit default swaps
Akçagün-Narin, Pelin
;
Taṣpınar, Süleyman
;
Doğan, …
- In:
Journal of financial econometrics
23
(
2025
)
3
,
pp. 1-36
Persistent link: https://www.econbiz.de/10015425423
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