Lu, Yang; Yang, Lia; Ho (何), Kung-Cheng (恭政); … - 2023
This study uses a dynamic copula model of dependence to investigate risk spillovers in China’s credit bond market between the bank and corporate sectors for a range of maturities from one week to 30 years. Using daily data on credit spreads for the period December 28, 2009 to June 2, 2017, the...