Convolution Copula Econometrics Convolution Copula Econometrics

Convolution Copula Econometrics

Umberto Cherubini والمزيد
    • ‏44٫99 US$
    • ‏44٫99 US$

وصف الناشر

This book presents a novel approach to time series econometrics, which studies the behavior of nonlinear stochastic processes. This approach allows for an arbitrary dependence structure in the increments and provides a generalization with respect to the standard linear independent increments assumption of classical time series models. The book offers a solution to the problem of a general semiparametric approach, which is given by a concept called C-convolution (convolution of dependent variables), and the corresponding theory of convolution-based copulas. Intended for econometrics and statistics scholars with a special interest in time series analysis and copula functions (or other nonparametric approaches), the book is also useful for doctoral students with a basic knowledge of copula functions wanting to learn about the latest research developments in the field.

النوع
تمويل شركات وأفراد
تاريخ النشر
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١ ديسمبر
اللغة
EN
الإنجليزية
عدد الصفحات
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الناشر
Springer International Publishing
البائع
Springer Nature B.V.
الحجم
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‫م.ب.‬
Dynamic Copula Methods in Finance Dynamic Copula Methods in Finance
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Copulae in Mathematical and Quantitative Finance Copulae in Mathematical and Quantitative Finance
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Copulae and Multivariate Probability Distributions in Finance Copulae and Multivariate Probability Distributions in Finance
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Handbook of Financial Time Series Handbook of Financial Time Series
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Multivariate Modelling of Non-Stationary Economic Time Series Multivariate Modelling of Non-Stationary Economic Time Series
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Copula-Based Markov Models for Time Series Copula-Based Markov Models for Time Series
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Marshall Olkin Distributions - Advances in Theory and Applications Marshall Olkin Distributions - Advances in Theory and Applications
٢٠١٥
Dynamic Copula Methods in Finance Dynamic Copula Methods in Finance
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Fourier Transform Methods in Finance Fourier Transform Methods in Finance
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