Modeling the dependence structure between default risk premium, equity return volatility and the jump risk: Evidence from a financial crisis

Economic Modelling

Volumn 29, Issue 2, 2012, Pages 119-131

  Naifar, Nader ^a  

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

Author keywords

Archimedean copulas; Credit default swap; Equity return volatility; ITraxx CDS index; Kurtosis of equity return distribution; Nonlinear dynamics; Subprime crisis

Indexed keywords

EID: 84856234649     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2011.08.026     Document Type: Article

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