Dependence in credit default swap and equity markets : dynamic copula with Markov-switching
Year of publication: |
July-September 2017
|
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Authors: | Fei, Fei ; Fuertes, Ana María ; Kalotychou, Elena |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 33.2017, 3, p. 662-678
|
Subject: | Credit spread | Copula | Dependence | Regime switching | Tail dependence | Value-at-Risk | Multivariate Verteilung | Multivariate distribution | Kreditderivat | Credit derivative | Theorie | Theory | Markov-Kette | Markov chain | Kreditrisiko | Credit risk | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis |
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