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

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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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@article{9fdab4cca7ef431f90c4da728ea58aaf,

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",

month = mar,

doi = "10.1016/j.irfa.2022.102025",

language = "English",

volume = "80",

journal = "International Review of Financial Analysis",

issn = "1057-5219",

publisher = "Elsevier Inc.",

}

TY - JOUR

T1 - Conditional Sovereign CDS in Market Basket Risk Scenario

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

PY - 2022/3

Y1 - 2022/3

U2 - 10.1016/j.irfa.2022.102025

DO - 10.1016/j.irfa.2022.102025

M3 - Article

SN - 1057-5219

VL - 80

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

M1 - 102025

ER -