مرکز منطقه ای اطلاع رساني علوم و فناوري - Nonlinear term structure dependence: Copula functions, empirics, and risk implications

Title of article :

Nonlinear term structure dependence: Copula functions, empirics, and risk implications

Author/Authors :

Markus Junker، نويسنده , , Alex Szimayer، نويسنده , , Niklas Wagner، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2006

Pages :

From page :

1171

To page :

1199

Keywords :

Nonlinear dependence , Copula functions , Value-at-Risk , Tail dependence , Affine term structure models

Journal title :

Journal of Banking and Finance

Serial Year :

2006

Journal title :

Journal of Banking and Finance

Record number :

193864

Link To Document :