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

Journal of Banking and Finance

Volumn 30, Issue 4, 2006, Pages 1171-1199

  Junker, Markus ^a   Szimayer, Alex ^b   Wagner, Niklas ^c  

^a CENTER OF ADVANCED EUROPEAN STUDIES AND RESEARCH CAESAR   (Germany)

^b UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

^c TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

Affine term structure models; Copula functions; Nonlinear dependence; Tail dependence; Value at risk

Indexed keywords

EID: 33645876764     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.05.014     Document Type: Article

References (40)

1. D.H. Ahn R.F. Dittmar A.R. Gallant Quadratic term structure models: Theory and evidence Review of Financial Studies 15 2002 243-288
2. Y. Aït-Sahalia Testing continuous-time models of the spot interest rate Review of Financial Studies 9 1996 385-426
3. T.W. Anderson D.A. Darling Asymptotic theory of certain goodness of fit criteria based on stochastic processes Annals of Mathematical Statistics 23 1952 193-212
4. T. Ané C. Kharoubi Dependence structure and risk measure Journal of Business 76 2003 411-438
5. A. Ang G. Bekaert Short rate nonlinearities and regime switches Journal of Economic Dynamics and Control 26 2002 1243-1274
6. S.H. Babbs K.B. Nowman Econometric analysis of a continuous time multi-factor generalized Vasicek term structure model: International evidence Asia-Pacific Financial Markets 5 1998 159-183
7. S.H. Babbs K.B. Nowman Kalman filtering of generalized Vasicek term structure models Journal of Financial and Quantitative Analysis 34 1999 115-130
8. T.G. Bali Testing the empirical performance of stochastic volatility models of the short term interest rate Journal of Financial and Quantitative Analysis 35 2000 191-215
9. T. Björk Y. Kabanov W. Runggaldier Bond market structure in the presence of marked point processes Mathematical Finance 7 1997 211-239
10. T. Bollerslev R.Y. Chou K.F. Kroner ARCH modelling in finance Journal of Econometrics 52 1992 5-59
11. Brandt, M.W., He, P., 2002. Simulated likelihood estimation of affine term structure models from panel data. Working Paper, University of Pennsylvania.
12. K.C. Chan G.A. Karolyi F.A. Longstaff A.B. Sanders An empirical comparison of alternative models of the short-term interest rate Journal of Finance 47 1992 1209-1227
13. R. Chen L. Scott Pricing interest rate options in a two-factor Cox-Ingersoll-Ross model of the term structure Review of Financial Studies 5 1992 613-636
14. J.C. Cox J.E. Ingersoll S.A. Ross A theory of the term structure of interest rates Econometrica 53 1985 385-407
15. Q. Dai K.J. Singleton Specification analysis of affine term structure models Journal of Finance 55 2000 1943-1978
16. Dai, Q., Singleton, K.J., 2002. Fixed income pricing. Mimeo, NYU and Stanford University.
17. F. De Jong Time-series and cross-section information in affine term-structure models Journal of Business and Economic Statistics 18 2000 300-314
18. G. De Rossi Kalman filtering of consistent forward rate curves: A tool to estimate and model dynamically the term structure Journal of Empirical Finance 11 2004 277-308
19. Dewachter, H., Lyrio, M., Maes, K., 2002. The effect of monetary union on German bond markets. Working Paper, University of Leuven.
20. J.C. Duan J.G. Simonato Estimating exponential-affine term structure models by Kalman filter Review of Quantitative Finance and Accounting 13 1999 111-135
21. D. Duffle R. Kan A yield-factor model of interest rates Mathematical Finance 6 1996 379-406
22. E. Eberlein S. Raible Term structure models driven by general Lévy processes Mathematical Finance 9 1999 31-53
23. Embrechts, P., McNeil, A., Straumann, D., 2002. Correlation and dependence in risk management: Properties and pitfalls. Preprint, ETH Zurich.
24. E.F. Fama R.R. Bliss The information in long-maturity forward rates American Economic Review 77 1987 680-692
25. A.C. Harvey Structural time series models and the Kalman filter 1989 Cambridge University Press Cambridge
26. H. Joe Multivariate models and dependence concepts 1997 Chapman & Hall London
27. Junker, M., May, A., 2002. Measurement of aggregate risk with copulas. Preprint, Research Center Caesar, Bonn.
28. F.A. Longstaff E.S. Schwartz Interest rate volatility and the term structure: A two-factor general equilibrium model Journal of Finance 47 1992 1259-1282
29. Lund, J., 1997. Non-linear Kalman filtering techniques for term-structure models. Working Paper, Aarhus School of Business.
30. Malevergne, Y., Sornette, D., 2002. Testing the Gaussian copula hypothesis for financial assets dependences. Working Paper, UCLA.
31. D.S. Moore Tests of chi-squared type R.B. D'Agostino M.A. Stevens Goodness-of-fit techniques 1986 Dekker New York
32. R.B. Nelsen An introduction to copulas 1999 Springer New York
33. Patton, A.J., 2001. Modelling time-varying exchange rate dependence using the conditional copula. Working Paper, U.C. San Diego.
34. D. Pollard General chi-square goodness-of-fit tests with data-dependent cells Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 50 1979 317-331
35. Rockinger, M., Jondeau, E., 2001. Conditional dependency of financial series: An application of copulas. CEPR and HEC Working Paper.
36. O. Scaillet A nonparametric analysis of stock index return dependence through bivariate copulas European Investment Review 1 2002 7-16
37. S.G. Self K. Liang Asymptotic properties of maximum likelihood estimators and likelihood ratio tests under nonstandard conditions Journal of the American Statistical Association 82 1987 605-610
38. R. Stanton A nonparametric model of the term structure dynamics and the market price of interest rate risk Journal of Finance 52 1997 1973-2002
39. A.W. van der Vaart J.A. Wellner Weak convergence and empirical processes 1996 Springer New York
40. O.A. Vasicek An equilibrium characterization of the term structure Journal of Financial Economics 5 1977 177-188