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Keywords: D vine copula
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Journal Articles
An empirical study on the correlation structure of credit spreads based on the dynamic and pair copula functions
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Journal:
China Finance Review International
China Finance Review International (2016) 6 (3): 284–303.
Published: 15 August 2016
... dimensional correlation of the credit spreads. Considering the heteroscedasticity of the credit spreads, we use the GARCH model to model the marginal distribution of the credit spreads: (Equation 1) (Equation 2) Canonical vine Correlation structure Credit spreads D vine copula...
