Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching-Reference-Cited by-同舟云学术

Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching

Published:2017-07 Issue:3 Volume:33 Page:662-678
ISSN:0169-2070
Container-title:International Journal of Forecasting
language:en
Short-container-title:International Journal of Forecasting

Author:

Fei Fei,Fuertes Ana-Maria,Kalotychou Elena

Publisher

Elsevier BV

Subject

Business and International Management

Reference45 articles.

1. Regime dependent determinants of credit default swap spreads;Alexander;Journal of Banking and Finance,2008

2. Basel Committee on Banking Supervision, (2011). Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems. Bank for International Settlements.

3. An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps;Blanco;Journal of Finance,2005

4. How good is your VaR? Using backtesting to assess system performance;Blanco;Financial Engineering News,1999

5. Credit default swaps and equity prices: The iTraxx CDS index market;Bystrom,2008

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