1. NCCU Academic Hub
  2. 學術產出
  3. College of Commerce
  4. Periodical Articles
  5. Item

學術產出-Periodical Articles

Article View/Open

Publication Export

Google ScholarTM

政大圖書館

Citation Infomation

題名 Dependence structure between the credit default swap return and the kurtosis of the equity return distribution: Evidence from Japan
作者 Chen, Yi-Hsuan;Tu, Anthony H.;Wang, Kehluh
陳怡璇;杜化宇
貢獻者 財管系
關鍵詞 C14;G13;G15
日期 2008-07
上傳時間 24-Aug-2015 12:07:27 (UTC+8)
摘要 We examine the dependence structure between the credit default swap (CDS) return and the kurtosis of the corresponding equity return distribution using copula functions to specify its nonnormal and nonlinear relationship. Three candidates, the Gaussian, the Student`s t, and the Gumbel copulas, are compared. Daily CDS rates of 46 reference entities are collected from the Tokyo International Financial Exchange covering the period from April 2004 to June 2005. Our empirical results suggest that in lower rating classes, the Gumbel copula is the best fitting model, followed by the Student`s t. The dependence structure is positive and asymmetric. To compensate for the higher risk, possibly incurred by more jumps, protection sellers demand higher CDS returns. Meanwhile, the upper tail dependence becomes significant as jump events and CDS returns increase simultaneously. Finally, CDS returns in lower rating classes are more sensitive to jump risk than those in the higher ratings.
關聯 Journal of International Financial Markets, Institutions and Money, 18(3), 259-271
資料類型 article
DOI http://dx.doi.org/10.1016/j.intfin.2006.10.004
dc.contributor 財管系
dc.creator (作者) Chen, Yi-Hsuan;Tu, Anthony H.;Wang, Kehluh
dc.creator (作者) 陳怡璇;杜化宇zh_TW
dc.date (日期) 2008-07
dc.date.accessioned 24-Aug-2015 12:07:27 (UTC+8)-
dc.date.available 24-Aug-2015 12:07:27 (UTC+8)-
dc.date.issued (上傳時間) 24-Aug-2015 12:07:27 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/77956-
dc.description.abstract (摘要) We examine the dependence structure between the credit default swap (CDS) return and the kurtosis of the corresponding equity return distribution using copula functions to specify its nonnormal and nonlinear relationship. Three candidates, the Gaussian, the Student`s t, and the Gumbel copulas, are compared. Daily CDS rates of 46 reference entities are collected from the Tokyo International Financial Exchange covering the period from April 2004 to June 2005. Our empirical results suggest that in lower rating classes, the Gumbel copula is the best fitting model, followed by the Student`s t. The dependence structure is positive and asymmetric. To compensate for the higher risk, possibly incurred by more jumps, protection sellers demand higher CDS returns. Meanwhile, the upper tail dependence becomes significant as jump events and CDS returns increase simultaneously. Finally, CDS returns in lower rating classes are more sensitive to jump risk than those in the higher ratings.
dc.format.extent 300066 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Journal of International Financial Markets, Institutions and Money, 18(3), 259-271
dc.subject (關鍵詞) C14;G13;G15
dc.title (題名) Dependence structure between the credit default swap return and the kurtosis of the equity return distribution: Evidence from Japan
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.intfin.2006.10.004
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.intfin.2006.10.004