We characterize diversification in corporate credit using a new class of dynamic copula models which can capture … 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 …

distribution. Using copula decomposition we can set up a model for each factor individually along with a model for their dependence …

both fractional cointegration and copula techniques. The former exploits the long memory behavior of the volatility … for the European and British exchange rates. Concerning the copula analysis, we conclude in favor of weak dependence when …