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The conditional dependence structure of insurance sector credit default swap indices · Study

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ArticleThe conditional dependence structure of insurance sector credit default swap indices

Go Tamakoshi2014

Article2014

The conditional dependence structure of insurance sector credit default swap indices

Go Tamakoshi · Shigeyuki Hamori

17 citations·0/0 files stored·The North American Journal of Economics and Finance

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Financial Risk and Volatility Modeling Insurance and Financial Risk Management Credit Risk and Financial Regulations

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1994Threshold heteroskedastic models 2007Goodness-of-fit tests for copulas: A review and a power study 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions 2003Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications 2009The Financial Crisis, Systemic Risk, and the Future of Insurance Regulation 2012Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach

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Year2014

Typearticle

Published2014-09-26

VenueThe North American Journal of Economics and Finance

ISSN-L1062-9408

Languageen

Citations17

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.najef.2014.09.002

openalex_workW2084774270

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