Work

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

Year: 2005

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2005.05.014

Authors: Markus Junker, Alex Szimayer, Niklas Wagner

Institutions: The University of Western Australia, Technical University of Munich

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1963808256

FWCI: 9.663

Cites: 47

Cited by: 90

Related to: 10