Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads
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More about this item
Keywordscorrelation; tail risk; financial crises; DCC;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G01 - Financial Economics - - General - - - Financial Crises
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-12-29 (All new papers)
- NEP-BAN-2013-12-29 (Banking)
- NEP-ECM-2013-12-29 (Econometrics)
- NEP-ETS-2013-12-29 (Econometric Time Series)
- NEP-RMG-2013-12-29 (Risk Management)
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