Pair copula constructions to determine the dependence structure of treasury bond yields

Pair copula constructions to determine the dependence structure of treasury bond yields

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Bibliographic Details
Main Authors: Marcelo Brutti Righi, Sergio Guilherme Schlender, Paulo Sergio Ceretta
Format: Article
Language:English
Published: Elsevier 2015-12-01
Series:IIMB Management Review
Online Access:http://www.sciencedirect.com/science/article/pii/S0970389615001007
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spelling doaj-92bd03b690b241148bb2d5c091ac3dad2020-11-24T21:00:27ZengElsevierIIMB Management Review0970-38962015-12-0127421410.1016/j.iimb.2015.10.003Pair copula constructions to determine the dependence structure of treasury bond yieldsMarcelo Brutti RighiSergio Guilherme SchlenderPaulo Sergio Cerettahttp://www.sciencedirect.com/science/article/pii/S0970389615001007
collection DOAJ
language English
format Article
sources DOAJ
author Marcelo Brutti Righi
Sergio Guilherme Schlender
Paulo Sergio Ceretta
spellingShingle Marcelo Brutti Righi
Sergio Guilherme Schlender
Paulo Sergio Ceretta
Pair copula constructions to determine the dependence structure of treasury bond yields
IIMB Management Review
author_facet Marcelo Brutti Righi
Sergio Guilherme Schlender
Paulo Sergio Ceretta
author_sort Marcelo Brutti Righi
title Pair copula constructions to determine the dependence structure of treasury bond yields
title_short Pair copula constructions to determine the dependence structure of treasury bond yields
title_full Pair copula constructions to determine the dependence structure of treasury bond yields
title_fullStr Pair copula constructions to determine the dependence structure of treasury bond yields
title_full_unstemmed Pair copula constructions to determine the dependence structure of treasury bond yields
title_sort pair copula constructions to determine the dependence structure of treasury bond yields
publisher Elsevier
series IIMB Management Review
issn 0970-3896
publishDate 2015-12-01
url http://www.sciencedirect.com/science/article/pii/S0970389615001007
work_keys_str_mv AT marcelobruttirighi paircopulaconstructionstodeterminethedependencestructureoftreasurybondyields
AT sergioguilhermeschlender paircopulaconstructionstodeterminethedependencestructureoftreasurybondyields
AT paulosergioceretta paircopulaconstructionstodeterminethedependencestructureoftreasurybondyields
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