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THE IMPACT OF STOCK RETURNS VOLATILITY ON CREDIT DEFAULT SWAP RATES: A COPULA STUDY
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THE IMPACT OF STOCK RETURNS VOLATILITY ON CREDIT DEFAULT SWAP RATES: A COPULA STUDY (2005)THE IMPACT OF STOCK RETURNS VOLATILITY ON…The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis (2009)The Co‐movement of Credit Def…Dependence patterns across financial markets: a mixed copula approach (2006)Dependence patterns across fi…The relationship between credit default swap spreads, bond yields, and credit rating announcements (2004)The relationship between cred…Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…Risk Management: Value at Risk and Beyond (2003)Risk Management: Value at Ris…Equity Volatility and Corporate Bond Yields (2003)Equity Volatility and Corpora…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…On Default Correlation (2000)On Default CorrelationAn Introduction to Copulas (1999)An Introduction to CopulasUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…The variation of certain speculative prices (1997)The variation of certain spec…A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)A Semiparametric Estimation P…Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Statistical Inference Procedu…The Joy of Copulas: Bivariate Distributions with Uniform Marginals (1986)The Joy of Copulas: Bivariate…On Nonparametric Measures of Dependence for Random Variables (1981)On Nonparametric Measures of …Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Conditional value-at-risk for general loss distributions (2002)The Econometrics of Financial Markets (2012)Life Table Methods for Heterogeneous Populations: Distributions Describing the Heterogeneity (1984)Bivariate Extreme Value Theory: Models and Estimation (1988)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Pair-copula constructions of multiple dependence (2007)Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données (1986)The impact of heterogeneity in individual frailty on the dynamics of mortality (1979)A distribution-free approach to inducing rank correlation among input variables (1982)The Asymptotic Theory of Extreme Order Statistics (1990)A Theory of the Term Structure of Interest Rates (1985)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Forecasting Default with the Merton Distance to Default Model (2008)The Aggregate Demand for Treasury Debt (2012)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Credit Risk: Modeling, Valuation and Hedging (2004)Forecasting: theory and practice (2022)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)Default Risk in Equity Returns (2004)Do Shareholders Benefit from Green Bonds? (2018)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)
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References

  • 1999An Introduction to Copulas7,777 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2000On Default Correlation1,431 cited
  • 1998Understanding Relationships Using Copulas1,258 cited
  • 1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
  • 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions1,227 cited
  • 2003Equity Volatility and Corporate Bond Yields1,194 cited
  • 2004The relationship between credit default swap spreads, bond yields, and credit rating announcements1,053 cited
  • 1986The Joy of Copulas: Bivariate Distributions with Uniform Marginals790 cited
  • 1981On Nonparametric Measures of Dependence for Random Variables601 cited
  • 2009The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis526 cited
  • 2006Dependence patterns across financial markets: a mixed copula approach

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393 cited
  • 2003Risk Management: Value at Risk and Beyond340 cited
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