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Applied Economics Letters Volume 28, 2021 - Issue 11
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Research Article

Financial derivatives and default dependence: a time-varying copula approach

Xuan Zhanga Institute of Economics and Finance, Nanjing Audit University, Nanjing, ChinaView further author information
,
Ding Liub School of Economics, Southwestern University of Finance and Economics, Chengdu, Sichuan, ChinaView further author information
,
Yang Zhaoc Chinese Academy of Finance and Development, Central University of Finance and Economics, Beijing, ChinaORCID Iconhttps://orcid.org/0000-0002-7833-1657View further author information
ORCID Icon &
Zhekai Zhangd Adam Smith Business School, University of Glasgow, Glasgow, UKCorrespondence[email protected]
View further author information
Pages 958-963 | Published online: 02 Jul 2020

References

  • Boz, E., and E. G. Mendoza. 2014. “Financial Innovation, the Discovery of Risk, and the U.S. Credit Crisis.” Journal of Monetary Economics 62: 1–22. doi:10.1016/j.jmoneco.2013.07.001.
  • Caporale, G. M., M. Cerrato, and X. Zhang. 2017. “Analysing the Determinants of Insolvency Risk for General Insurance Firms in the UK.” Journal of Banking and Finance 84: 107–122. doi:10.1016/j.jbankfin.2017.07.011.
  • Creal, D., S. J. Koopman, and A. Lucas. 2013. “Generalized Autoregressive Score Models with Applications.” Journal of Applied Econometrics 28 (5): 777–795. doi:10.1002/jae.1279.
  • Duan, J. C., J. Sun, and T. Wang. 2012. “Multiperiod Corporate Default Prediction – A Forward Intensity Approach.” Journal of Econometrics 170: 191–209. doi:10.1016/j.jeconom.2012.05.002.
  • Engle, R. F. 1982. “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation.” Econometrica 50: 987–1007. doi:10.2307/1912773.
  • Lucas, A., B. Schwaab, and X. Zhang. 2014. “Conditional Euro Area Sovereign Default Risk.” Journal of Business & Economic Statistics 32 (2): 271–284. doi:10.1080/07350015.2013.873540.
  • Mühlnickel, J., and G. N. F. Weiß. 2015. “Consolidation and Systemic Risk in the International Insurance Industry.” Journal of Financial Stability 18: 187–202. doi:10.1016/j.jfs.2015.04.005.
  • Patton, A. 2012. “Copula Methods for Forecasting Multivariate Time Series.” Handbook of Economic Forecasting 2: 899–960.

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