Interest Rate Risk Management Based on Copula-GARCH Models
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- Brodsky, Boris & Penikas, Henry & Safaryan, Irina, 2009. "Detection of Structural Breaks in Copula Models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 16(4), pages 3-15.
- Penikas, Henry, 2014. "Investment portfolio risk modelling based on hierarchical copulas," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 35(3), pages 18-38.
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More about this item
Keywordscopula; EVEaR; interest rate risk; Russia; MosPrime; OFZ; yield curve;
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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