Investigating the dependence structure between credit default swap spreads and the U.S. financial market
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Bibliographic InfoArticle provided by Springer in its journal Annals of Finance.
Volume (Year): 6 (2010)
Issue (Month): 4 (October)
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Web page: http://www.springerlink.com/link.asp?id=112370
Archimedean copulas; Concordance measures; Credit risk; Market risk; Risk management; Tail dependence; C16; C32; D81;
Find related papers by JEL classification:
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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