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Keywords: Spot Rates
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2003) 11 (2): 103–131.
Published: 30 November 2003
... methodology and applies it to the problem of simulating default-free and risky spot rates. More specifically, this paper estimates the dependence structure of daily Korean Treasury and A-rated corporate spot rates (3-year to maturity) for the 1/2/01~11/11/02 period using t-marginals and bivariate t-copula...
