Dupuis, Debbie; Jacquier, Eric; Papageorgiou, Nicolas; … - In: Journal of Futures Markets 29 (2009) 8, pp. 695-712
We investigate the common practice of estimating the dependence structure between credit default swap prices on multi‐name credit instruments from the dependence structure of the equity returns of the underlying firms. We find convincing evidence that the practice is inappropriate for...