Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index

Journal of Computational and Applied Mathematics

Volumn 235, Issue 8, 2011, Pages 2459-2466

  Naifar, Nader ^a  

^a AL IMAM MOHAMMAD IBN SAUD ISLAMIC UNIVERSITY IMSIU   (Saudi Arabia)

Author keywords

Archimedean copulas; Default risk; iTraxx CDS index; Kurtosis of equity return distribution; Nonparametric estimation

Indexed keywords

ARCHIMEDEAN COPULA; DEFAULT RISK; ITRAXX CDS INDEX; KURTOSIS OF EQUITY RETURN DISTRIBUTION; NON-PARAMETRIC ESTIMATIONS;

COMMERCE; ESTIMATION; FINANCE;

RISK PERCEPTION;

EID: 79251599155     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2010.10.047     Document Type: Article

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