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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]
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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

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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, Elsevier, 2016, 19, pp.42-53. ⟨10.1016/j.frl.2016.06.001⟩. ⟨hal-03536632⟩

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