𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Extension of dependence properties to semi-copulas and applications to the mean–variance model

✍ Scribed by Cerqueti, Roy; Spizzichino, Fabio

Book ID
122491942
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
204 KB
Volume
220
Category
Article
ISSN
0165-0114

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Modelling dependence structure with Arch
Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index
✍ Nader Naifar 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 797 KB

In this paper we model the dependence structure between credit default swap (CDS) and jump risk using Archimedean copulas. The paper models and estimates the different relationships that can exist in different ranges of behaviour. It studies the bivariate distributions of CDS index spreads and the k