Conditional Sovereign CDS in Market Basket Risk Scenario : A Dynamic Vine-Copula Analysis. / Wang, Qunwei; Liu, Mengmeng; Xiao, Ling; Dai, Xingyu ; Li, Matthew C.; Wu, Fei.

In: International Review of Financial Analysis, 11.01.2022.

Research output: Contribution to journalArticlepeer-review

E-pub ahead of print

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Conditional Sovereign CDS in Market Basket Risk Scenario : A Dynamic Vine-Copula Analysis. / Wang, Qunwei; Liu, Mengmeng; Xiao, Ling; Dai, Xingyu ; Li, Matthew C.; Wu, Fei.

In: International Review of Financial Analysis, 11.01.2022.

Research output: Contribution to journalArticlepeer-review

Harvard

APA

Wang, Q., Liu, M., Xiao, L., Dai, X., Li, M. C., & Wu, F. (2022). Conditional Sovereign CDS in Market Basket Risk Scenario: A Dynamic Vine-Copula Analysis. International Review of Financial Analysis, [102025]. https://doi.org/10.1016/j.irfa.2022.102025

Vancouver

Author

Wang, Qunwei ; Liu, Mengmeng ; Xiao, Ling ; Dai, Xingyu ; Li, Matthew C. ; Wu, Fei. / Conditional Sovereign CDS in Market Basket Risk Scenario : A Dynamic Vine-Copula Analysis. In: International Review of Financial Analysis. 2022.

BibTeX

@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 = jan,
day = "11",
doi = "10.1016/j.irfa.2022.102025",
language = "English",
journal = "International Review of Financial Analysis",
issn = "1057-5219",
publisher = "Elsevier Inc.",

}

RIS

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 - 2022/1/11

Y1 - 2022/1/11

U2 - 10.1016/j.irfa.2022.102025

DO - 10.1016/j.irfa.2022.102025

M3 - Article

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

SN - 1057-5219

M1 - 102025

ER -