THE IMPACT OF STOCK RETURNS VOLATILITY ON CREDIT DEFAULT SWAP RATES: A COPULA STUDY

DOI10.1142/S0219024905003372zbMath1116.91042OpenAlexW3122862537MaRDI QIDQ5493854

Fathi Abid, Nader Naifar

Publication date: 16 October 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024905003372

zbMATH Keywords

bivariate distributionnon-parametric estimationsemi-parametric estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10) Statistical methods; economic indices and measures (91B82)

Related Items (1)

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Cites Work

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• On the simultaneous associativity of F(x,y) and x+y-F(x,y)
• Using copulae to bound the value-at-risk for functions of dependent risks
• Archimedean copulae and positive dependence
• Multivariate survival distributions
• Frank's family of bivariate distributions
• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Understanding Relationships Using Copulas

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