04000nam 22006975 450 991015529750332120220329212406.010.1007/978-3-319-48015-2(CKB)3710000000966176(DE-He213)978-3-319-48015-2(MiAaPQ)EBC4755399(PPN)197453015(EXLCZ)99371000000096617620161201d2016 u| 0engurnn#008mamaatxtrdacontentcrdamediacrrdacarrierConvolution copula econometrics[electronic resource] /by Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci1st ed. 2016.Cham :Springer International Publishing :Imprint: Springer,2016.1 online resource (X, 90 p. 31 illus., 30 illus. in color.)SpringerBriefs in Statistics,2191-544X3-319-48014-6 3-319-48015-4 Includes bibliographical references at the end of each chapters.Preface -- The Dynamics of Economic Variables -- Estimation of Copula Models -- Copulas and Estimation of Markov Processes -- Copula-based Markov Processes: Estimation, Mixing Properties and Long-term Behavior -- Convolution-based Processes -- Application to Interest Rates. .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.SpringerBriefs in Statistics,2191-544XStatistics ProbabilitiesEconometricsApplied mathematicsEngineering mathematicsStatistics for Business, Management, Economics, Finance, Insurancehttps://scigraph.springernature.com/ontologies/product-market-codes/S17010Probability Theory and Stochastic Processeshttps://scigraph.springernature.com/ontologies/product-market-codes/M27004Econometricshttps://scigraph.springernature.com/ontologies/product-market-codes/W29010Statistical Theory and Methodshttps://scigraph.springernature.com/ontologies/product-market-codes/S11001Applications of Mathematicshttps://scigraph.springernature.com/ontologies/product-market-codes/M13003Statistics .Probabilities.Econometrics.Applied mathematics.Engineering mathematics.Statistics for Business, Management, Economics, Finance, Insurance.Probability Theory and Stochastic Processes.Econometrics.Statistical Theory and Methods.Applications of Mathematics.332.015195Cherubini Umbertoauthttp://id.loc.gov/vocabulary/relators/aut118857Gobbi Fabioauthttp://id.loc.gov/vocabulary/relators/autMulinacci Sabrinaauthttp://id.loc.gov/vocabulary/relators/autMiAaPQMiAaPQMiAaPQBOOK9910155297503321Convolution Copula Econometrics2012836UNINA