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
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
Subject:	Multivariate Verteilung \| Multivariate distribution \| Theorie \| Theory \| Zins \| Interest rate \| Stochastischer Prozess \| Stochastic process \| Analysis \| Mathematical analysis \| Zinsstruktur \| Yield curve \| Nichtlineare Regression \| Nonlinear regression

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