Study of correlation impact on credit default swap margin using a GARCH-DCC-copula framework
David Li and Roy M. Cheruvelil
| Year of publication: |
2019
|
|---|---|
| Authors: | Li, David ; Cheruvelil, Roy M. |
| Published in: |
The journal of financial market infrastructures. - London : Infopro Digital, ISSN 2049-5404, ZDB-ID 2694628-2. - Vol. 8.2019, 1, p. 51-92
|
| Subject: | credit default swap (CDS) | generalized autoregressive conditional heteroscedasticity-dynamic conditional correlation (GARCH-DCC) | Student t DCC copula | time-varying correlation | initial margin (IM) | Kreditderivat | Credit derivative | Korrelation | Correlation | Kreditrisiko | Credit risk | Schätzung | Estimation | Multivariate Verteilung | Multivariate distribution | ARCH-Modell | ARCH model | Swap | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JFMI.2018.113 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012373185