摘要 : This paper documents nonlinear cross-sectional dependence in the term structure of US-Treasury yields and points out risk management implications. The analysis is based on a Kalman filter estimation of a two-factor affine model wh... 展开
作者 | Markus Junker Alex Szimayer Niklas Wagner |
---|---|
作者单位 | |
期刊名称 | 《Journal of banking & finance》 |
页码/总页数 | p.1171-1199 / 29 |
语种/中图分类号 | 英语 / f |
关键词 | affine term structure models nonlinear dependence copula functions tail dependence value-at-risk |
馆藏号 | F-139 |