"Time-varying optimal copula" - Selaus asiasanan mukaanArtikkelit
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Comparing the Risk Spillover from Oil and Gas to Investment Grade and High-yield Bonds through Optimal Copulas
(International Association for Energy Economics, 01.02.2022)
articleThis paper compares the tail dependence and risk spillovers from the oil and gas to high-yield (HY) and investment grade (IG) bond markets. We use time-varying optimal copula framework to examine the dependence and further ...