Christoffersen, Peter; Jacobs, Kris; Jin, Xisong; … - School of Economics and Management, University of Aarhus - 2013
dynamic dependence and asymmetry in large samples of firms. We also document important differences between credit spread and … equity return dependence dynamics. Modeling a decade of weekly CDS spreads for 215 firms, we find that copula correlations … high since. Perhaps most importantly, tail dependence of CDS spreads increase even more than copula correlations during the …