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

B-Tier

Journal: Journal of Banking & Finance

Year: 2006

Volume: 30

Issue: 4

Pages: 1171-1199

Authors (3)

Junker, Markus (not in RePEc) Szimayer, Alex (not in RePEc) Wagner, Niklas (Universität Passau)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count