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~institution:"Deutsche Bundesbank"
~institution:"HAL"
~institution:"Tinbergen Instituut"
~person:"Bu, Ruijun"
~person:"Waisman, Henri"
~source:"repec"
~subject:"Maximum Likelihood Estimation"
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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 …
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