Convolution Copula Econometrics

• Κύριοι συγγραφείς: Cherubini, Umberto (Συγγραφέας), Gobbi, Fabio (Συγγραφέας), Mulinacci, Sabrina (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2016.
• Σειρά: SpringerBriefs in Statistics,
• Θέματα: 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...

Πίνακας περιεχομένων:

• 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. .