Conditional dependence of US and EU sovereign CDS: A time-varying copula-based estimation

Ahmed Atil, Marc Bradford, Abdelaziz Elmarzougui and Amine Lahiani (amine.lahiani@univ-orleans.fr)
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Ahmed Atil: LEO - Laboratoire d'Économie d'Orleans [UMR7322] - UO - Université d'Orléans - UT - Université de Tours - CNRS - Centre National de la Recherche Scientifique
Marc Bradford: LEO - Laboratoire d'Économie d'Orleans [UMR7322] - UO - Université d'Orléans - UT - Université de Tours - CNRS - Centre National de la Recherche Scientifique
Abdelaziz Elmarzougui: LEO - Laboratoire d'Économie d'Orleans [UMR7322] - UO - Université d'Orléans - UT - Université de Tours - CNRS - Centre National de la Recherche Scientifique
Amine Lahiani: LEO - Laboratoire d'Économie d'Orleans [UMR7322] - UO - Université d'Orléans - UT - Université de Tours - CNRS - Centre National de la Recherche Scientifique

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Date: 2016-11
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Citations: View citations in EconPapers (11)

Published in Finance Research Letters, 2016, 19, pp.42-53. ⟨10.1016/j.frl.2016.06.001⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03536632

DOI: 10.1016/j.frl.2016.06.001

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