Vine copulas and applications to the European Union sovereign debt analysis
(2014)
Journal Article
Zhang, D. (2014). Vine copulas and applications to the European Union sovereign debt analysis. International Review of Financial Analysis, 36, 46-56. https://doi.org/10.1016/j.irfa.2014.02.011
European sovereign debt crisis has become a very popular topic since late 2009. In this paper, sovereign debt crisis is investigated by calculating the probabilities of the potential future crisis of 11 countries in the European Union. We use soverei... Read More about Vine copulas and applications to the European Union sovereign debt analysis.