کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5069481 | 1476985 | 2016 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Conditional dependence of US and EU sovereign CDS: A time-varying copula-based estimation
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Conditional dependence of US and EU sovereign CDS: A time-varying copula-based estimation
Conditional dependence of US and EU sovereign CDS: A time-varying copula-based estimation](/preview/png/5069481.png)
چکیده انگلیسی
In this paper, we perform an estimation based on the copula-GARCH model to assess the dependence structure of sovereign Credit Default Swaps (CDS) spreads between European countries and the United States. Using a daily data of CDS spreads covering the period from January 2007 to March 2016, we detect non-linear dependence structure of CDS spreads between the US and European countries. Our results indicate that sovereign CDS of those European countries with financial markets comparable to the US including the UK and those countries that showed a relative resilience to the euro area debt crisis including Germany have had higher conditional dependence with the US.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 19, November 2016, Pages 42-53
Journal: Finance Research Letters - Volume 19, November 2016, Pages 42-53
نویسندگان
Ahmed Atil, Marc Bradford, Abdelaziz Elmarzougui, Amine Lahiani,