Markus Junker

Center of Advanced European Studies and Research, Germany (CAESAR) - Financial Engineering Group

53175 Bonn

Germany

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Scholarly Papers (1)

1.

Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications

Number of pages: 43 Posted: 24 Jun 2003
Markus Junker, Alexander Szimayer and Niklas Wagner
Center of Advanced European Studies and Research, Germany (CAESAR) - Financial Engineering Group, University of Hamburg - Faculty of Economics and Business Administration and Passau University
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Citation 8

Abstract:

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affine term structure models, nonlinear dependence, copula functions, tail dependence, value-at-risk