Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads

DOI10.1080/07350015.2016.1177535zbMath1547.62867MaRDI QIDQ6623173

Andrew J. Patton, Dong Hwan Oh

Publication date: 23 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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