Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications
Year of publication: |
2004-01-30
|
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Authors: | Junker, Markus ; Szimayer, Alexander ; Wagner, Niklas |
Institutions: | EconWPA |
Subject: | affine term structure models | nonlinear dependence | copula functions | tail dependence | value-at-risk |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - pdf; prepared on win00; to print on laserjet; pages: 50 50 pages |
Classification: | C13 - Estimation ; G10 - General Financial Markets. General ; G21 - Banks; Other Depository Institutions; Mortgages |
Source: |
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