Dependence structure between LIBOR rates by copula method
Dependence structure between LIBOR rates by copula method
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Heidelberg: Higher Education Press
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Language
English
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Heidelberg: Higher Education Press
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This paper discusses the correlation structure between London Interbank Offered Rates (LIBOR) by using the copula function. We start from one simplified model of A. Brace, D. Gatarek, and M. Musiela (1997) and find out that the copula function between two LIBOR rates can be expressed as a sum of an infinite series, where the main term is a distribu...
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Dependence structure between LIBOR rates by copula method
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TN_cdi_proquest_miscellaneous_1651376560
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_miscellaneous_1651376560
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ISSN
1673-3452
E-ISSN
1673-3576
DOI
10.1007/s11464-014-0315-4
