Dependence structure between the credit default swap return and the kurtosis of the equity return distribution: Evidence from Japan
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference18 articles.
1. The impact of stock returns volatility on credit default swap rates: a copula study;Abid;International Journal of Theoretical and Applied Finance,2005
2. An empirical investigation of continuous-time equity return models;Andersen;Journal of Finance,2002
3. Conditional value-at-risk estimation using non-integer values of degrees of freedom in Student's t-distribution;Andreev;The Journal of Risk,2005
4. Jumps and stochastic volatility: exchange rate processes implicit in deutsche mark options;Bates;Review of Financial Studies,1996
5. Modelling credit default swap spreads by means of normal mixtures and copulas;Bee;Applied Mathematical Finance,2004
Cited by 5 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. WORLD FINANCIAL RELATIONS: UNDERSTANDING THE CREDIT DERIVATIVE SWAPS (CDS) DEPENDENCE STRUCTURE;REAd. Revista Eletrônica de Administração (Porto Alegre);2018-08
2. The dependence structure in credit risk between money and derivatives markets;Managerial Finance;2014-07-08
3. Price Discovery and Volatility Transmission between Korean Sovereign CDS and ROK Bond Markets;Korean Journal of Financial Engineering;2013-03
4. Modeling the dependence structure between default risk premium, equity return volatility and the jump risk: Evidence from a financial crisis;Economic Modelling;2012-03
5. Testing for Nonlinear Dependence in the Credit Default Swap Market;Economics Research International;2011-05-31
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