Liquidity tail risk and credit default swap spreads
type: Item
instance of: scholarly article
title: Liquidity tail risk and credit default swap spreads
zbMATH Open document ID: 1390.91313
author: Felix Irresberger
author: Gregor N. F. Weiß
author: Janet Gabrysch
author: Sandra Gabrysch
published in: European Journal of Operational Research
publication date: 2018-05-17T00:00:00Z
full work available at URL: Irresberger EJOR Liquidity Tail Risk and Credit Default Swap Spreads.pdf
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62G32
zbMATH DE Number: 6869355
zbMATH Keywords: finance
zbMATH Keywords: credit default swaps
zbMATH Keywords: liquidity risk
zbMATH Keywords: copula
zbMATH Keywords: liquidity tail beta
describes a project that uses: FinTS
MaRDI profile type: Publication
OpenAlex ID: W2788516861
Wikidata QID: Q59882374
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DOI: 10.1016/J.EJOR.2018.02.030
DBLP publication ID: journals/eor/IrresbergerWGG18
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description: scientific article; zbMATH DE number 6869355