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

Ahmed Atil; Marc Bradford; Abdelaziz Elmarzougui; Amine Lahiani

doi:10.1016/j.frl.2016.06.001

Journal articles

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

Ahmed Atil ¹ Marc Bradford ¹ Abdelaziz Elmarzougui ¹ Amine Lahiani ¹

1 LEO - Laboratoire d'Économie d'Orleans [UMR7322]

Document type :

Journal articles

Domain :

Humanities and Social Sciences / Economics and Finance

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https://hal-univ-orleans.archives-ouvertes.fr/hal-03536632
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Submitted on : Thursday, January 20, 2022 - 9:30:20 AM
Last modification on : Tuesday, April 26, 2022 - 10:12:02 AM

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

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

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