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Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads · Study

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PreprintTime-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads

Dong Hwan Oh2013

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Preprintgreen2013

Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads

Dong Hwan Oh · Andrew J. Patton

100 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Credit Risk and Financial Regulations

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1999An Introduction to Copulas 2002Dynamic Conditional Correlation 1998Numerical Methods in Economics 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

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2014Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models 2016New HEAVY Models for Fat-Tailed Realized Covariances and Returns 2013Conditional copula simulation for systemic risk stress testing 2014High Dimensional Dynamic Stochastic Copula Models 2014Maximum Likelihood Estimation for Generalized Autoregressive Score Models 2017Dynamic Dependence and Diversification in Corporate Credit

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Details

Year2013

Typepreprint

Published2013-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations100

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.2269405

openalex_workW1523598070

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