Article ID Journal Published Year Pages File Type
5055493 Economic Modelling 2012 13 Pages PDF
Abstract
► We model the dependence structure between default risk premium and equity market. ► We use iTraxx CDS index data from Japanese and Australian markets. ► We find extreme co-movement between default risk premium and equity market conditions. ► We find that the dependence structure is asymmetric and is increased after the crisis.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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