Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Asian Economics"
DOI: 10.1016/j.asieco.2020.101200
Abstract: Abstract This study uses a dynamic copula model of dependence to investigate risk spillovers in China’s credit bond market between the bank and corporate sectors for a range of maturities from one week to 30… read more here.
Keywords: credit; risk spillover; bond market; china credit ... See more keywords