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If I remember e.g. McNeil et. al (2005: Proposition 5.29) correctly and if I understand you correctly, it should be possible to estimate the correlation parameter $\varrho$ of the Gaussian copula from two time series of the desired interest rates via calculating Kendall's $\tau$ or Spearman's rank correlation $\rho$ using the relationships: \$\varrho = \sin(\...