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Keywords: Dynamic copula function
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Journal Articles
An empirical study on the correlation structure of credit spreads based on the dynamic and pair copula functions
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2016) 6 (3): 284–303.
Published: 15 August 2016
... Dynamic copula function Minimum spanning tree Bond market is an important part of the financial market. Although it is a relative small scale market compared to equity market and foreign exchange market in China, the bond market has been growing in recent years. According to data released...
