da Silva, Paulo Pereira; Rebelo, Paulo Tomaz; Afonso, … - In: Economics: The Open-Access, Open-Assessment E-Journal 8 (2014) 2014-39, pp. 1-27
Using copula methods and simulation-based inference, the authors investigate the association between the performance of a stock index formed by European financial institutions and a basket of CDS contracts of the same sector. Their analysis focuses on (i) assessing the dependence structure of...