Modeling multivariate interest rates using time-varying copulas and reducible nonlinear stochastic differential equations
Ruijun Bu; Ludovic Giet; Kaddour Hadri; Michel Lubrano
| Year of publication: |
2011
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|---|---|
| Authors: | Bu, Ruijun ; Giet, Ludovic ; Hadri, Kaddour ; Lubrano, Michel |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 9.2011, 1, p. 198-236
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| Subject: | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Zins | Interest rate | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Zinsstruktur | Yield curve | Nichtlineare Regression | Nonlinear regression |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009125140