Dunbar, Kwamie O. Dunbar, Sr.; Edwards, Albert J. - Department of Economics, University of Connecticut - 2007
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 …