Bu, Ruijun; Giet, Ludovic; Hadri, Kaddour; Lubrano, Michel - In: Journal of Financial Econometrics 9 (2011) 1, pp. 198-236
We propose a new approach for modeling nonlinear multivariate interest rate processes based on time-varying copulas and reducible stochastic differential equations (SDEs). In the modeling of the marginal processes, we consider a class of nonlinear SDEs that are reducible to Ornstein--Uhlenbeck...