THE IMPACT OF STOCK RETURNS VOLATILITY ON CREDIT DEFAULT SWAP RATES: A COPULA STUDY
Year of publication: |
2005
|
---|---|
Authors: | ABID, FATHI ; NAIFAR, NADER |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 08.2005, 08, p. 1135-1155
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Copulas functions | credit default swap | volatility | bivariate distribution | non-parametric estimation | semi-parametric estimation |
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