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Autore: | Cherubini Umberto |
Titolo: | Convolution copula econometrics / / by Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci |
Pubblicazione: | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 |
Edizione: | 1st ed. 2016. |
Descrizione fisica: | 1 online resource (X, 90 p. 31 illus., 30 illus. in color.) |
Disciplina: | 332.015195 |
Soggetto topico: | Statistics |
Probabilities | |
Econometrics | |
Applied mathematics | |
Engineering mathematics | |
Statistics for Business, Management, Economics, Finance, Insurance | |
Probability Theory and Stochastic Processes | |
Statistical Theory and Methods | |
Applications of Mathematics | |
Persona (resp. second.): | GobbiFabio |
MulinacciSabrina | |
Nota di bibliografia: | Includes bibliographical references at the end of each chapters. |
Nota di contenuto: | 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. . |
Sommario/riassunto: | 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. |
Titolo autorizzato: | Convolution Copula Econometrics |
Formato: | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione: | Inglese |
Record Nr.: | 9910155297503321 |
Lo trovi qui: | Univ. Federico II |
Opac: | Controlla la disponibilità qui |