Linking Covid-19 Epidemic and Emerging Market OAS: Evidence Using Dynamic Copulas and Pareto Distributions

Author:

Chitou Imdade,Dufrénot Gilles,Esposito Julien

Publisher

Springer International Publishing

Reference27 articles.

1. Ahir H, Bloom N, Furceri D (2018) World uncertainty index. Stanford and IMF. Available at SSRN: https://ssrn.com/abstract=3275033 or https://doi.org/10.2139/ssrn.3275033

2. Alentorn A, Markose S (2011) The generalized extreme value distribution, implied tail index, and option pricing. J Deriv 18(31):35–60

3. Aramonte S, Avalos F (2020) Corporate credit markets after the initial pandemic shock. BIS Bulletin, n°26

4. Bahij M, Nafidi A, Achchab B, Gama S, Matos J (2016) A stochastic diffusion process based on the two-parameters Weibull density function. Int J Math Comput Phys Electr Comput Eng 10(6):254–259

5. Baker SR, Bloom N, Davis SJ, Terry SJ (2020) COVID-induced economic uncertainty. NBER Working Paper No. w26983

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