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Modeling Interest Rates Using Reducible Stochastic Differential Equations: A Copula-based Multivariate Approach

Ruijun Bu, Ludovic Giet, Kaddour Hadri () and Michel Lubrano

Chapter 1 in Econometric Methods and Their Applications in Finance, Macro and Related Fields, 2014, pp 5-29 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionNonlinear Multivariate ModelingRSDEs with Constant Elasticity VolatilityBivariate Modeling of US and UK Short-term Interest RatesConclusionAppendixReferences

Keywords: Financial Econometrics; Applied Econometrics; Econometric Theory and Methods (search for similar items in EconPapers)
Date: 2014
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