Modeling Multivariate Interest Rates using Time-Varying Copulas and Reducible Stochastic Differential Equations
Year of publication: |
2009-11-15
|
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Authors: | Bu, Ruijun ; Giet, Ludovic ; Hadri, Kaddour ; Lubrano, Michel |
Institutions: | HAL |
Subject: | Interest Rate Models | Reducible Stochastic Differential Equations | Maximum Likelihood Estimation | Constant Elasticity Models | Copula |
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