Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach
Abstract: In this study, we proposed a new empirical method by combining generalized autoregressive score functions and a copula model with high-frequency data to model the conditional time-varying joint distribution of the government bond yields between Poland/Czech Republic/Hungary, and Germany. C...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-01-01
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| Series: | Sustainability |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2071-1050/10/2/324 |