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Modeling Interest Rates Using Reducible Stochastic Differential Equations: A Copula-based Multivariate Approach

Authors :
Kaddour Hadri
Ludovic Giet
Michel Lubrano
Ruijun Bu
Source :
Econometric Methods and Their Applications in Finance, Macro and Related Fields
Publication Year :
2014
Publisher :
WORLD SCIENTIFIC, 2014.

Subjects

Subjects :
Stochastic differential equation
Multivariate statistics
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Econometrics
Copula (probability theory)
Interest rate
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Mathematics

Details

Database :
OpenAIRE
Journal :
Econometric Methods and Their Applications in Finance, Macro and Related Fields
Accession number :
edsair.doi...........646b98e9f47e045e3947fb5501bc7019
Full Text :
https://doi.org/10.1142/9789814513470_0001
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