Empirical evidence on the dependence of
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Debbie Dupuis; Eric Jacquier; Nicolas Papageorgiou; Bruno RΓ©millard
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Article
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2009
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John Wiley and Sons
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English
β 460 KB
## Abstract We investigate the common practice of estimating the dependence structure between credit default swap prices on multiβname credit instruments from the dependence structure of the equity returns of the underlying firms. We find convincing evidence that the practice is inappropriate for h