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
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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
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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 | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution | Swap | Derivat | Derivative | Schätzung | Estimation |
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