Matches in SemOpenAlex for { <https://semopenalex.org/work/W2011021627> ?p ?o ?g. }
- W2011021627 endingPage "131" @default.
- W2011021627 startingPage "119" @default.
- W2011021627 abstract "This paper investigates the dependence structure between default risk premium, equity return volatility and jump risk in the equity market before and during the subprime crisis. Using iTraxx CDS index spreads from Japanese and Australian markets, the paper models the different relationships that can exist in different ranges of behavior. We consider several Archimedean copula models with different tail dependence structures, namely, Gumbel, Clayton, Frank, AMH and Joe copulas. Although the dramatic change in the levels of the iTraxx CDS index, we find strong evidence that the dependence structure between CDS and stock market conditions is asymmetric and orienting toward the upper side. In addition, we find that the Japanese CDS market is more sensitive to the stock return volatility than the jump risk and the magnitude of this sensitivity is related to the market circumstances. However, Australian CDS market is more sensitive to the jump risk than stock return volatility before and during the financial crisis. This result has important implications for both global financial stability and default risk management. Specifically, the heterogeneity of markets, coupled with the diversity in the risk exposures cause the default risk premium and equity markets to exhibit different levels of sensitivity." @default.
- W2011021627 created "2016-06-24" @default.
- W2011021627 creator A5057254204 @default.
- W2011021627 date "2012-03-01" @default.
- W2011021627 modified "2023-10-01" @default.
- W2011021627 title "Modeling the dependence structure between default risk premium, equity return volatility and the jump risk: Evidence from a financial crisis" @default.
- W2011021627 cites W1540341317 @default.
- W2011021627 cites W1565591840 @default.
- W2011021627 cites W1978290902 @default.
- W2011021627 cites W1979575715 @default.
- W2011021627 cites W1984536024 @default.
- W2011021627 cites W1985409483 @default.
- W2011021627 cites W1989292978 @default.
- W2011021627 cites W1990860515 @default.
- W2011021627 cites W1999814123 @default.
- W2011021627 cites W1999996900 @default.
- W2011021627 cites W2006186777 @default.
- W2011021627 cites W2012036508 @default.
- W2011021627 cites W2021604287 @default.
- W2011021627 cites W2028198798 @default.
- W2011021627 cites W2029239181 @default.
- W2011021627 cites W2049475115 @default.
- W2011021627 cites W2052902288 @default.
- W2011021627 cites W2054957279 @default.
- W2011021627 cites W2058559289 @default.
- W2011021627 cites W2061984794 @default.
- W2011021627 cites W2070730040 @default.
- W2011021627 cites W2078263602 @default.
- W2011021627 cites W2101958621 @default.
- W2011021627 cites W2104267426 @default.
- W2011021627 cites W2118891973 @default.
- W2011021627 cites W2127038280 @default.
- W2011021627 cites W2127169188 @default.
- W2011021627 cites W2133334225 @default.
- W2011021627 cites W2140489921 @default.
- W2011021627 cites W2144452471 @default.
- W2011021627 cites W2149467294 @default.
- W2011021627 cites W2169476066 @default.
- W2011021627 cites W3122403692 @default.
- W2011021627 cites W3122762010 @default.
- W2011021627 cites W3122862537 @default.
- W2011021627 cites W3123574039 @default.
- W2011021627 cites W3124125555 @default.
- W2011021627 cites W3124335938 @default.
- W2011021627 cites W3124475197 @default.
- W2011021627 cites W3124550796 @default.
- W2011021627 cites W3125041188 @default.
- W2011021627 cites W3125203185 @default.
- W2011021627 cites W3126106868 @default.
- W2011021627 cites W3158113069 @default.
- W2011021627 doi "https://doi.org/10.1016/j.econmod.2011.08.026" @default.
- W2011021627 hasPublicationYear "2012" @default.
- W2011021627 type Work @default.
- W2011021627 sameAs 2011021627 @default.
- W2011021627 citedByCount "30" @default.
- W2011021627 countsByYear W20110216272012 @default.
- W2011021627 countsByYear W20110216272014 @default.
- W2011021627 countsByYear W20110216272015 @default.
- W2011021627 countsByYear W20110216272016 @default.
- W2011021627 countsByYear W20110216272017 @default.
- W2011021627 countsByYear W20110216272018 @default.
- W2011021627 countsByYear W20110216272019 @default.
- W2011021627 countsByYear W20110216272020 @default.
- W2011021627 countsByYear W20110216272021 @default.
- W2011021627 countsByYear W20110216272023 @default.
- W2011021627 crossrefType "journal-article" @default.
- W2011021627 hasAuthorship W2011021627A5057254204 @default.
- W2011021627 hasConcept C10138342 @default.
- W2011021627 hasConcept C105795698 @default.
- W2011021627 hasConcept C106159729 @default.
- W2011021627 hasConcept C121332964 @default.
- W2011021627 hasConcept C13290067 @default.
- W2011021627 hasConcept C139719470 @default.
- W2011021627 hasConcept C149782125 @default.
- W2011021627 hasConcept C149866677 @default.
- W2011021627 hasConcept C151541453 @default.
- W2011021627 hasConcept C161584116 @default.
- W2011021627 hasConcept C162118730 @default.
- W2011021627 hasConcept C162324750 @default.
- W2011021627 hasConcept C17744445 @default.
- W2011021627 hasConcept C178350159 @default.
- W2011021627 hasConcept C186027771 @default.
- W2011021627 hasConcept C199539241 @default.
- W2011021627 hasConcept C199728807 @default.
- W2011021627 hasConcept C2777284652 @default.
- W2011021627 hasConcept C2777606061 @default.
- W2011021627 hasConcept C2778300220 @default.
- W2011021627 hasConcept C2780695682 @default.
- W2011021627 hasConcept C30589699 @default.
- W2011021627 hasConcept C33923547 @default.
- W2011021627 hasConcept C44731940 @default.
- W2011021627 hasConcept C62520636 @default.
- W2011021627 hasConcept C91602232 @default.
- W2011021627 hasConceptScore W2011021627C10138342 @default.
- W2011021627 hasConceptScore W2011021627C105795698 @default.
- W2011021627 hasConceptScore W2011021627C106159729 @default.
- W2011021627 hasConceptScore W2011021627C121332964 @default.
- W2011021627 hasConceptScore W2011021627C13290067 @default.