Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads

High dimensional dynamic stochastic copula models

(2015) Drew D. Creal et al.   JOURNAL OF ECONOMETRICS

Market-Based Credit Ratings

(2014) Drew D. Creal et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Conditional Euro Area Sovereign Default Risk

(2014) André Lucas et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Stationarity and ergodicity of univariate generalized autoregressive score processes

(2014) Francisco Blasques et al.   Electronic Journal of Statistics

EGARCH models with fat tails, skewness and leverage

(2013) Andrew Harvey et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

Simulated Method of Moments Estimation for Copula-Based Multivariate Models

(2013) Dong Hwan Oh et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Dynamic Equicorrelation

(2012) Robert Engle et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations

(2011) Drew Creal et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Systemic Risk: What Defaults Are Telling Us

(2011) Kay Giesecke et al.   MANAGEMENT SCIENCE

Tails of correlation mixtures of elliptical copulas

(2010) Hans Manner et al.   INSURANCE MATHEMATICS & ECONOMICS