Time-varying Dependence in the Term Structure of Interest Rates: A Copula-based Approach
Chapter 3 in Econometric Methods and Their Applications in Finance, Macro and Related Fields, 2014, pp 51-80 from World Scientific Publishing Co. Pte. Ltd.
The following sections are included:IntroductionBackground TheoryModel Specification and Estimation StrategyEmpirical AnalysisConclusions and Future WorkReferences
Keywords: Financial Econometrics; Applied Econometrics; Econometric Theory and Methods (search for similar items in EconPapers)
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