The determinants of CDS spreads: evidence from the model space
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Publication:1621637
DOI10.1007/s11147-017-9134-6zbMath1404.62110OpenAlexW2743997203MaRDI QIDQ1621637
Johannes Vilsmeier, Matthias Pelster
Publication date: 9 November 2018
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/148050
Bayesian model averagingtail dependenceCDScredit default swapstail riskcrash aversiontime-varying copulas
Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40)
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