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- W2888657774 abstract "ABSTRACT This study investigates the copula model that best fit to model the dependence structure of Credit Derivative Swaps (CDS) spreads. For the analysis, we consider daily data from the period of January 1, 2009 to December 31, 2014. Regarding the models, we considered Vine copulas and Hierarchical Archimedean copulas, and different families of copulas. Our results indicate that C-Vine copulas, as well Student t family, demonstrated better performance, according to the criteria used to get the dependence structure. The best fit of the dependence structure can avoid the model risk, from the use of an incorrect model." @default.
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- W2888657774 date "2018-08-01" @default.
- W2888657774 modified "2023-09-27" @default.
- W2888657774 title "WORLD FINANCIAL RELATIONS: UNDERSTANDING THE CREDIT DERIVATIVE SWAPS (CDS) DEPENDENCE STRUCTURE" @default.
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- W2888657774 doi "https://doi.org/10.1590/1413-2311.200.78321" @default.
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