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Journal Articles Finance Research Letters Year : 2016

Conditional dependence of US and EU sovereign CDS: A time-varying copula-based estimation

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Submitted on : Thursday, January 20, 2022-9:30:20 AM

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hal-03536632 , version 1 (20-01-2022)

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Ahmed Atil, Marc Bradford, Abdelaziz Elmarzougui, Amine Lahiani. Conditional dependence of US and EU sovereign CDS: A time-varying copula-based estimation. Finance Research Letters, 2016, 19, pp.42-53. ⟨10.1016/j.frl.2016.06.001⟩. ⟨hal-03536632⟩

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