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Modeling Multivariate Interest Rates using Time-Varying Copulas and Reducible Stochastic Differential Equations
Bu, Ruijun; Giet, Ludovic; Hadri, Kaddour; Lubrano, Michel - HAL - 2009
structure of the two rates using Patton (2006a) time-varying Symmetrised Joe-Clayton copula. We find evidence of asymmetric …
Persistent link: https://www.econbiz.de/10008793845
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Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy
Caillault, Cyril; Guegan, Dominique - HAL - 2009
management of bank supervisors. The copula approach seems to be a good compromise between all these models. It permits taking …
Persistent link: https://www.econbiz.de/10010738564