Modeling non-normal corporate bond yield spreads by copula

Keyphrases

• Copula 100%
• Yield Spread 100%
• Equity Volatility 100%
• Corporate Bond Yield Spreads 100%
• Marginal Regression 66%
• Explanatory Variables 66%
• Upper Tail 66%
• Tail Dependence 66%
• Copula Function 66%
• Statistical Model 33%
• Regression Method 33%
• Regression Model 33%
• Dependence Structure 33%
• Liquidity 33%
• Extant Literature 33%
• Joint Distribution 33%
• Gaussian Copula 33%
• Normality 33%
• Interest Rate Volatility 33%
• Bond Market 33%
• Coupon Rate 33%
• Lower Tail 33%
• Copula Approach 33%
• Data Market 33%
• Volatility Spread 33%
• Equity Yields 33%
• First Application 33%

Mathematics

• Copula 100%
• Explanatory Variable 40%
• Marginals 40%
• Dependence Structure 20%
• Joint Distribution 20%
• Gaussian Copula 20%
• Regression Model 20%
• Coupon Rate 20%
• Bond Market 20%

Economics, Econometrics and Finance

• Corporate Bond 100%
• Yield Curve 100%
• Volatility 66%
• Investors 16%