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
29
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