Conditional Sovereign CDS in Market Basket Risk Scenario: A Dynamic Vine-Copula Analysis

Qunwei Wang, Mengmeng Liu, Ling Xiao, Xingyu Dai, Matthew C. Li, Fei Wu

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Original language	English
Article number	102025
Journal	International Review of Financial Analysis
Volume	80
Early online date	11 Jan 2022
DOIs	https://doi.org/10.1016/j.irfa.2022.102025
Publication status	Published - Mar 2022

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title = "Conditional Sovereign CDS in Market Basket Risk Scenario: A Dynamic Vine-Copula Analysis",

author = "Qunwei Wang and Mengmeng Liu and Ling Xiao and Xingyu Dai and Li, {Matthew C.} and Fei Wu",

year = "2022",

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language = "English",

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T2 - A Dynamic Vine-Copula Analysis

AU - Wang, Qunwei

AU - Liu, Mengmeng

AU - Xiao, Ling

AU - Dai, Xingyu

AU - Li, Matthew C.

AU - Wu, Fei

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JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

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