Pair copula constructions to determine the dependence structure of Treasury bond yields
Year of publication: |
December 2015
|
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Authors: | Righi, Marcelo Brutti ; Schlender, Sergio Guilherme ; Ceretta, Paulo Sergio |
Published in: |
IIMB management review. - Bangalore : IIMB, ISSN 0970-3896, ZDB-ID 2413253-6. - Vol. 27.2015, 4, p. 216-227
|
Subject: | Treasury bonds | Pair copula construction | Dependence structure | Multivariate Verteilung | Multivariate distribution | Öffentliche Anleihe | Public bond | Staatspapier | Government securities | Zinsstruktur | Yield curve | Kapitaleinkommen | Capital income | Theorie | Theory |
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