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Nonlinear term structure dependence: Copula functions, empirics, and risk implications

Journal of Banking \& Finance, 30(4): 1171--1199, 2006.
Authors: Markus Junker and Alex Szimayer and Niklas Wagner
URL: http://www.sciencedirect.com/science/article/B6VCY-4GDBTCF-1/1/3a8815e2577ebea6cb32f91cb35789d8
Description: Journal of Banking & Finance
Tags: Affine models structure term
| URL | BibTeX  
@article{Junker2006,
title = {Nonlinear term structure dependence: Copula functions, empirics, and risk implications},
author = {Markus Junker and Alex Szimayer and Niklas Wagner},
journal = {Journal of Banking \& Finance},
month = {Apr},
number = {4},
pages = {1171--1199},
url = {http://www.sciencedirect.com/science/article/B6VCY-4GDBTCF-1/1/3a8815e2577ebea6cb32f91cb35789d8},
volume = {30},
year = {2006},
description = {Journal of Banking & Finance},
keywords = {Affine models structure term }
}