Convolution Copula Econometrics
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Convolution Copula Econometrics

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ISBN-13:
9783319480152
Einband:
eBook
Seiten:
90
Autor:
Umberto Cherubini
Serie:
SpringerBriefs in Statistics
eBook Typ:
PDF
eBook Format:
PDF
Kopierschutz:
1 - PDF Watermark
Sprache:
Englisch
Beschreibung:

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.