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In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co … the data using a Generalized Linear model (GLM) incorporating copulas emerge as a more robust technique over traditional … that the time varying joint correlation matrix performed far superior as compared to the constant correlation matrix; the …
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returns through various channels, viz. commonality in liquidity and illiquidity sensitivity to market returns. Covariance …
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