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

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References

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2002Quadratic Term Structure Models: Theory and Evidence469 cited
1997Bond Market Structure in the Presence of Marked Point Processes385 cited
1999Term Structure Models Driven by General Lévy Processes271 cited

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1999

Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter

267 cited

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