Dependence structures and risk spillover in China's credit bond market : a copula and CoVaR approach
Year of publication: |
2020
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Authors: | Yang, Lu ; Yang, Lei ; Ho, Kung-Cheng ; Hamori, Shigeyuki |
Published in: |
Journal of Asian economics. - Amsterdam [u.a.] : Elsevier Science, ISSN 1049-0078, ZDB-ID 1061920-3. - Vol. 68.2020
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Subject: | China | Copula | Credit bond market | Dependence structures | Risk spillover | Multivariate Verteilung | Multivariate distribution | Spillover-Effekt | Spillover effect | Rentenmarkt | Bond market | Risikomaß | Risk measure | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Unternehmensanleihe | Corporate bond |
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