Convolution Copula Econometrics

• Main Authors: Cherubini, Umberto (Author), Gobbi, Fabio (Author), Mulinacci, Sabrina (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2016.
• Series: SpringerBriefs in Statistics,
• Subjects: Statistics.; Applied mathematics.; Engineering mathematics.; Probabilities.; Econometrics.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Probability Theory and Stochastic Processes.; Statistical Theory and Methods.; Applications of Mathematics.

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 assumpt...