Chen, Yi-Hsuan; Tu, Anthony H.; Wang, Kehluh - In: Journal of International Financial Markets, … 18 (2008) 3, pp. 259-271
We examine the dependence structure between the credit default swap (CDS) return and the kurtosis of the corresponding equity return distribution using copula functions to specify its nonnormal and nonlinear relationship. Three candidates, the Gaussian, the Student's t, and the Gumbel copulas,...