Time-Varying Systemic Risk : Evidence from a Dynamic Copula Model of CDS Spreads
Year of publication: |
2013
|
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Authors: | Oh, Dong Hwan |
Other Persons: | Patton, Andrew J. (contributor) |
Publisher: |
[2013]: [S.l.] : SSRN |
Subject: | Kreditderivat | Credit derivative | Multivariate Verteilung | Multivariate distribution | Kreditrisiko | Credit risk | Systemrisiko | Systemic risk | Finanzkrise | Financial crisis | Risikoprämie | Risk premium |
Extent: | 1 Online-Ressource (43 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Economic Research Initiatives at Duke (ERID) Working Paper No. 167 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 23, 2013 erstellt |
Other identifiers: | 10.2139/ssrn.2269405 [DOI] |
Classification: | C32 - Time-Series Models ; c58 ; G01 - Financial Crises |
Source: | ECONIS - Online Catalogue of the ZBW |
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