Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
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Cites work
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Cited in
(20)- Modelling volatility dependence with score copula models
- Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets
- Fast estimation of a large TVP-VAR model with score-driven volatilities
- Copulae: an overview and recent developments
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- Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
- Modeling Multivariate Time Series With Copula-Linked Univariate D-Vines
- The Effect of Dependence on European Market Risk. A Nonparametric Time Varying Approach
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- A zero serial cross-correlation test before fitting heteroscedasticity
- Blackbox simulation optimization
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- Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models
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- Bayesian copula factor autoregressive models for time series mixed data
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